Risk sharing with multiple indemnity environments

DOI10.1016/J.EJOR.2021.03.012zbMath1487.91103OpenAlexW3154722776MaRDI QIDQ2239902

Tim J. Boonen, Wing Fung Chong, Yichun Chi, Alexandru V. Asimit

Publication date: 5 November 2021

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2021.03.012

zbMATH Keywords

value-at-riskrisk managementheterogeneous beliefstail value-at-riskoptimal insuranceenvironment-specific layer indemnitiesmultiple risk environments

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)

Related Items (6)

On a Markovian game model for competitive insurance pricing ⋮ A marginal indemnity function approach to optimal reinsurance under the Vajda condition ⋮ Structured reinsurance deals with reference to relative market performance ⋮ An insurer's optimal strategy towards a new independent business ⋮ Pareto-optimal reinsurance with default risk and solvency regulation ⋮ Optimal design for network mutual aid

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