Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs (Q2665838): Difference between revisions

Latest revision as of 07:06, 27 July 2024

scientific article

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English	Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs	scientific article

Statements

instance of

scholarly article

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title

Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs (English)

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Insurance Mathematics \& Economics

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publication date

19 November 2021

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zbMATH Keywords

optimal reinsurance design

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distortion risk measures

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distortion premium principle

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heterogeneous beliefs

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multiple reinsurers

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.insmatheco.2020.06.008

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cites work

Ambiguity on the insurer's side: the demand for insurance

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Optimal reinsurance in the presence of counterparty default risk

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Optimal risk transfer under quantile-based risk measurers

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On optimal reinsurance policy with distortion risk measures and premiums

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On the existence of a representative reinsurer under heterogeneous beliefs

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The role of a representative reinsurer in optimal reinsurance

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Pareto efficient insurance contracts when the insurer's cost function is discontinuous

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Characterizations of optimal reinsurance treaties: a cost-benefit approach

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Optimal Reinsurance Under the Risk-Adjusted Value of an Insurer’s Liability and an Economic Reinsurance Premium Principle

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Optimal reinsurance arrangements in the presence of two reinsurers

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Optimal Reinsurance under VaR and CVaR Risk Measures: a Simplified Approach

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Optimal VaR-based risk management with reinsurance

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Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles

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Optimal reinsurance and stop-loss order

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Remarks on quantiles and distortion risk measures

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Budget-constrained optimal insurance with belief heterogeneity

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Budget-constrained optimal insurance without the nonnegativity constraint on indemnities

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Optimal insurance under rank-dependent expected utility

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Budget-constrained optimal retention with an upper limit on the retained loss

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A NEYMAN-PEARSON PERSPECTIVE ON OPTIMAL REINSURANCE WITH CONSTRAINTS

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A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints

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Reinsurer's optimal reinsurance strategy with upper and lower premium constraints under distortion risk measures

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On Characterization of Distortion Premium Principle

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The Dual Theory of Choice under Risk

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Optimal insurance under Wang's premium principle.

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Optimal insurance in the presence of reinsurance

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Marginal indemnification function formulation for optimal reinsurance

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Identifiers

zbMATH Open document ID

1475.91285

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DOI

10.1016/j.insmatheco.2020.06.008

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2665838

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2020.06.008
+Normal rank
@@ Property / OpenAlex ID @@
+W3034608894
@@ Property / OpenAlex ID: W3034608894 / rank @@
+Normal rank
@@ Property / cites work @@
+Ambiguity on the insurer's side: the demand for insurance
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance in the presence of counterparty default risk
+Normal rank
@@ Property / cites work @@
+Optimal risk transfer under quantile-based risk measurers
+Normal rank
@@ Property / cites work @@
+On optimal reinsurance policy with distortion risk measures and premiums
+Normal rank
@@ Property / cites work @@
+On the existence of a representative reinsurer under heterogeneous beliefs
+Normal rank
@@ Property / cites work @@
+The role of a representative reinsurer in optimal reinsurance
+Normal rank
@@ Property / cites work @@
+Pareto efficient insurance contracts when the insurer's cost function is discontinuous
+Normal rank
@@ Property / cites work @@
+Characterizations of optimal reinsurance treaties: a cost-benefit approach
+Normal rank
@@ Property / cites work @@
+Optimal Reinsurance Under the Risk-Adjusted Value of an Insurer’s Liability and an Economic Reinsurance Premium Principle
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance arrangements in the presence of two reinsurers
+Normal rank
@@ Property / cites work @@
+Optimal Reinsurance under VaR and CVaR Risk Measures: a Simplified Approach
+Normal rank
@@ Property / cites work @@
+Optimal VaR-based risk management with reinsurance
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance and stop-loss order
@@ Property / cites work: Optimal reinsurance and stop-loss order / rank @@
+Normal rank
@@ Property / cites work @@
+Remarks on quantiles and distortion risk measures
@@ Property / cites work: Remarks on quantiles and distortion risk measures / rank @@
+Normal rank
@@ Property / cites work @@
+Budget-constrained optimal insurance with belief heterogeneity
+Normal rank
@@ Property / cites work @@
+Budget-constrained optimal insurance without the nonnegativity constraint on indemnities
+Normal rank
@@ Property / cites work @@
+Optimal insurance under rank-dependent expected utility
+Normal rank
@@ Property / cites work @@
+Budget-constrained optimal retention with an upper limit on the retained loss
+Normal rank
@@ Property / cites work @@
+A NEYMAN-PEARSON PERSPECTIVE ON OPTIMAL REINSURANCE WITH CONSTRAINTS
+Normal rank
@@ Property / cites work @@
+A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints
+Normal rank
@@ Property / cites work @@
+Reinsurer's optimal reinsurance strategy with upper and lower premium constraints under distortion risk measures
+Normal rank
@@ Property / cites work @@
+On Characterization of Distortion Premium Principle
+Normal rank
@@ Property / cites work @@
+The Dual Theory of Choice under Risk
@@ Property / cites work: The Dual Theory of Choice under Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal insurance under Wang's premium principle.
@@ Property / cites work: Optimal insurance under Wang's premium principle. / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal insurance in the presence of reinsurance
@@ Property / cites work: Optimal insurance in the presence of reinsurance / rank @@
+Normal rank
@@ Property / cites work @@
+Marginal indemnification function formulation for optimal reinsurance
+Normal rank