Reinsurance of multiple risks with generic dependence structures
From MaRDI portal
Publication:2665875
DOI10.1016/J.INSMATHECO.2021.09.006zbMath1475.91303arXiv2009.12274OpenAlexW3206421676MaRDI QIDQ2665875
Publication date: 19 November 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2009.12274
expected utilityreinsurancedependent riskspremium calculation principlesrandomized reinsurance treaties
Related Items (2)
Optimal reinsurance with positively dependent risks ⋮ New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
Cites Work
- Unnamed Item
- Are quantile risk measures suitable for risk-transfer decisions?
- Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework
- Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
- Robust and Pareto optimality of insurance contracts
- On randomized reinsurance contracts
- An optimal reinsurance problem in the Cramér-Lundberg model
- Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
- Optimal reinsurance under dynamic VaR constraint
- Reinsurance contract design when the insurer is ambiguity-averse
- Optimal reinsurance with positively dependent risks
- Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
- Dependent risks and excess of loss reinsurance
- Probability and Stochastics
- Optimal Reinsurance for Variance Related Premium Calculation Principles
- Optimal reinsurance under general law-invariant risk measures
- Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process
- Reinsurance
- Optimal Risk Transfer: A Numerical Optimization Approach
- Empirical Approach for Optimal Reinsurance Design
- Optimal Reinsurance Under the Risk-Adjusted Value of an Insurer’s Liability and an Economic Reinsurance Premium Principle
This page was built for publication: Reinsurance of multiple risks with generic dependence structures
