Optimal insurance in the presence of reinsurance

DOI10.1080/03461238.2016.1184710zbMath1402.91221OpenAlexW2406641281MaRDI QIDQ4577192

Zuo Quan Xu, Ken Seng Tan, Sheng Chao Zhuang, Tim J. Boonen

Publication date: 17 July 2018

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

Full work available at URL: https://doi.org/10.1080/03461238.2016.1184710

zbMATH Keywords

insurancereinsurancecontract designdistortion risk measurespremium constraintcompetition constraint

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (10)

A hybrid model of optimal reinsurance: a discussion of ‘Optimal reinsurance designs based on risk measures: a review’ by Jun Cai and Yichun Chi ⋮ Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs ⋮ Risk transference constraints in optimal reinsurance ⋮ An insurer's optimal strategy towards a new independent business ⋮ Actuarial pricing with financial methods ⋮ Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion ⋮ Pareto-optimal insurance contracts with premium budget and minimum charge constraints ⋮ OPTIMAL REINSURANCE DESIGN WITH DISTORTION RISK MEASURES AND ASYMMETRIC INFORMATION ⋮ A unifying approach to constrained and unconstrained optimal reinsurance ⋮ Budget-constrained optimal reinsurance design under coherent risk measures

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