Optimal reinsurance with multiple reinsurers: competitive pricing and coalition stability
From MaRDI portal
Publication:2665861
DOI10.1016/J.INSMATHECO.2021.08.005zbMath1475.91286OpenAlexW3195042593MaRDI QIDQ2665861
Sheng Chao Zhuang, Tim J. Boonen, Ken Seng Tan
Publication date: 19 November 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.08.005
Related Items (3)
A hybrid model of optimal reinsurance: a discussion of ‘Optimal reinsurance designs based on risk measures: a review’ by Jun Cai and Yichun Chi ⋮ Multiple per-claim reinsurance based on maximizing the Lundberg exponent ⋮ Equilibria and efficiency in a reinsurance market
Cites Work
- Unnamed Item
- Marginal indemnification function formulation for optimal reinsurance
- Optimal VaR-based risk management with reinsurance
- Optimal risk transfers in insurance groups
- Optimal reinsurance under convex principles of premium calculation
- Optimal reinsurance with general risk measures
- Optimal reinsurance and stop-loss order
- Comonotonicity, correlation order and premium principles
- Axiomatic characterization of insurance prices
- Insurer's optimal reinsurance strategies
- Optimal insurance under Wang's premium principle.
- On optimal reinsurance policy with distortion risk measures and premiums
- Optimal risk sharing with background risk
- Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
- Optimal risk transfer under quantile-based risk measurers
- Inf-convolution of risk measures and optimal risk transfer
- GlueVaR risk measures in capital allocation applications
- The role of a representative reinsurer in optimal reinsurance
- Coherent Measures of Risk
- Reinsurance Arrangements Minimizing the Risk-Adjusted Value of an Insurer's Liability
- Optimal Reinsurance under VaR and CVaR Risk Measures: a Simplified Approach
- Risk Measures and Comonotonicity: A Review
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS
- Characterizations of optimal reinsurance treaties: a cost-benefit approach
- Optimal reinsurance arrangements in the presence of two reinsurers
- The Dual Theory of Choice under Risk
- OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY
- The Core of an N Person Game
- Optimal reinsurance under mean-variance premium principles
This page was built for publication: Optimal reinsurance with multiple reinsurers: competitive pricing and coalition stability
