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Proceedings of the Mediterranean Symposium on Smart City Applications

SCAMS 2017: Innovations in Smart Cities and Applications pp 919–930Cite as

Optimal Reinsurance Under CTV Risk Measure

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Part of the book series: Lecture Notes in Networks and Systems ((LNNS,volume 37))

Abstract

In this paper we proposed a new model for optimizing reinsurance which acts on the Conditional Tail Expectation (CTV) and the technical benefit. In this model, we have determined optimal reinsurance treaty parameters that minimize (CTV) under the constraint of technical benefit which must also be maximal. The minimization procedure is based on augmented Lagrangian method and genetic algorithms in order to solve the optimization program of this model.

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Author information

Authors and Affiliations

  1. Department of Mathematics, Faculty of Sciences-Rabat, Mohamed V University, Rabat, Morocco

    Abderrahim El Attar & Zine El Abidine Guennoun

  2. Department of Statistics and Mathematics, Faculty of Juridical Sciences, Economic and Social-Ain Sebaa, Casablanca, Morocco

    Mostafa El Hachloufi

Authors
  1. Abderrahim El Attar
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  2. Mostafa El Hachloufi
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  3. Zine El Abidine Guennoun
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Corresponding author

Correspondence to Abderrahim El Attar .

Editor information

Editors and Affiliations

  1. Computer Sciences Department, Faculty of Sciences and Techniques, Abdelmalek Essaadi University, Tangier, Morocco

    Mohamed Ben Ahmed

  2. Computer Sciences Department, Faculty of Sciences and Techniques, Abdelmalek Essaadi University, Tangier, Morocco

    Anouar Abdelhakim Boudhir

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Cite this paper

El Attar, A., El Hachloufi, M., Guennoun, Z.E.A. (2018). Optimal Reinsurance Under CTV Risk Measure. In: Ben Ahmed, M., Boudhir, A. (eds) Innovations in Smart Cities and Applications. SCAMS 2017. Lecture Notes in Networks and Systems, vol 37. Springer, Cham. https://doi.org/10.1007/978-3-319-74500-8_82

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  • DOI: https://doi.org/10.1007/978-3-319-74500-8_82

  • Published:

  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-74499-5

  • Online ISBN: 978-3-319-74500-8

  • eBook Packages: EngineeringEngineering (R0)

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