多维风险度量及其在再保险中的应用研究
11901184
2019
A0210.随机分析与随机过程
陈燕红
青年科学基金项目
副教授
湖南大学
24万元
再保险;时间相容性;风险度量;表示定理;金融投资组合
2020-01-01到2022-12-31
- 中英文摘要
- 结题摘要
- 结题报告
- 项目成果
- 项目参与人
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| 序号 | 标题 | 类型 | 作者 |
|---|---|---|---|
| 1 | Optimal reinsurance form the viewpoints of both an insurer and a reinsurer under the CVaR risk measure and Vajda condition | 期刊论文 | Yanhong Chen |
| 2 | Multivariate coherent risk measures induced by multivariate convex risk measures | 期刊论文 | Yanhong Chen;Yijun Hu |
| 3 | Optimal insurance design under Vajda condition and exclusion clauses | 期刊论文 | Yanhong Chen;Yijun Hu |
| 4 | Set-valued dynamic risk measures for processes and for vectors | 期刊论文 | Yanhong Chen;Zachary Feinstein |
| 5 | Set-valued dynamic risk measures for bounded discrete-time processes | 期刊论文 | Yanhong Chen;Yijun Hu |
| 6 | Optimal reinsurance from the perspectives of both insurers and reinsurers under the VaR risk measure and Vajda condition | 期刊论文 | Yanhong Chen;Yijun Hu |
| 7 | Optimal reinsurance with expectile under the Vajda condition | 期刊论文 | Yanhong Chen |
查看更多信息请先登录或注册
