MEAN–VARIANCE INSURANCE DESIGN WITH COUNTERPARTY RISK AND INCENTIVE COMPATIBILITY

DOI10.1017/asb.2021.36zbMath1492.91272MaRDI QIDQ5866182

Wenjun Jiang, Tim J. Boonen

Publication date: 13 June 2022

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2021.36

zbMATH Keywords

mean-variance optimization; counterparty risk; optimal insurance; marginal indemnity function

Mathematics Subject Classification ID

91G05: Actuarial mathematics

Related Items

Pareto-optimal insurance under heterogeneous beliefs and incentive compatibility, Pareto-optimal reinsurance with default risk and solvency regulation, Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion, Bowley solution under the reinsurer's default risk, Bilateral risk sharing in a comonotone market with rank-dependent utilities

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