On Pareto-optimal reinsurance with constraints under distortion risk measures

DOI10.1007/S13385-017-0163-1zbMath1416.91191OpenAlexW2619462530MaRDI QIDQ1616057

Jiandong Ren, Wenjun Jiang, Hanping Hong

Publication date: 31 October 2018

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-017-0163-1

zbMATH Keywords

value-at-riskconstraintsdistortion risk measuretail value-at-riskPareto-optimal reinsurance

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (16)

Revisiting the optimal insurance design under adverse selection: distortion risk measures and tail-risk overestimation ⋮ VaR and CTE based optimal reinsurance from a reinsurer's perspective ⋮ An optimal reinsurance simulation model for non-life insurance in the Solvency II framework ⋮ A marginal indemnity function approach to optimal reinsurance under the Vajda condition ⋮ Optimal reinsurance from the perspectives of both insurers and reinsurers under the VaR risk measure and Vajda condition ⋮ Pareto-optimal reinsurance policies with maximal synergy ⋮ Optimal reinsurance with default risk: a reinsurer's perspective ⋮ Risk transference constraints in optimal reinsurance ⋮ Preference robust state-dependent distortion risk measure on act space and its application in optimal decision making ⋮ Multi-constrained optimal reinsurance model from the duality perspectives ⋮ Pareto-optimal reinsurance with default risk and solvency regulation ⋮ Pareto-optimal insurance contracts with premium budget and minimum charge constraints ⋮ OPTIMAL REINSURANCE FROM THE VIEWPOINTS OF BOTH AN INSURER AND A REINSURER UNDER THE CVAR RISK MEASURE AND VAJDA CONDITION ⋮ Risk sharing with multiple indemnity environments ⋮ Pareto-optimal reinsurance revisited: a two-stage optimisation procedure approach ⋮ A unifying approach to constrained and unconstrained optimal reinsurance

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