Stable solutions for optimal reinsurance problems involving risk measures

DOI10.1016/J.EJOR.2011.05.035zbMath1219.91064OpenAlexW2092698606MaRDI QIDQ635196

Antonio Heras, Beatriz Balbás, Alejandro Balbas

Publication date: 19 August 2011

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/13079

zbMATH Keywords

sensitivityoptimal reinsurancerisk measurestable optimal retentionstop-loss reinsurance

Mathematics Subject Classification ID

Applications of mathematical programming (90C90)

Related Items (16)

A marginal indemnity function approach to optimal reinsurance under the Vajda condition ⋮ OPTIMAL REINSURANCE FROM THE PERSPECTIVES OF BOTH AN INSURER AND A REINSURER ⋮ CDF formulation for solving an optimal reinsurance problem ⋮ Robust and Pareto optimality of insurance contracts ⋮ Optimal robust insurance with a finite uncertainty set ⋮ Bowley vs. Pareto optima in reinsurance contracting ⋮ Optimal reinsurance design under solvency constraints ⋮ Optimal reinsurance with general premium principles ⋮ Risk sharing with multiple indemnity environments ⋮ Robust reinsurance contracts with uncertainty about jump risk ⋮ Optimal reinsurance under risk and uncertainty ⋮ Insurance with multiple insurers: a game-theoretic approach ⋮ Omega ratio optimization with actuarial and financial applications ⋮ Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle ⋮ Concave distortion risk minimizing reinsurance design under adverse selection ⋮ Pricing and risk management of interest rate swaps

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