CDF formulation for solving an optimal reinsurance problem

DOI10.1080/03461238.2016.1167114MaRDI QIDQ4575473zbMATH OpenOpenAlexFDO

Authors Chengguo Weng, Sheng Chao Zhuang

Publication date 13 July 2018

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

Full work available at URL https://doi.org/10.1080/03461238.2016.1167114

zbMATH Keywords

background riskCDF formulationgeneralized Wang's premium principleLagrangian dual methodoptimal reinsurancesurvival probability maximization

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• Insurer's optimal reinsurance strategies
• Marginal indemnification function formulation for optimal reinsurance
• Optimal Control of Favorable Games with a Time Limit
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• Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
• Optimal Reinsurance Revisited – A Geometric Approach
• Optimal reinsurance subject to Vajda condition
• Optimal reinsurance under distortion risk measures and expected value premium principle for reinsurer
• Optimal reinsurance under general law-invariant risk measures
• Optimal reinsurance under mean-variance premium principles
• Optimal reinsurance under risk and uncertainty
• Optimal reinsurance under VaR and CTE risk measures
• Optimal reinsurance with general premium principles
• Optimal reinsurance with general risk measures
• Optimal risk sharing with background risk
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• Risk Vulnerability and the Tempering Effect of Background Risk
• Risk-constrained dynamic active portfolio management
• Stable solutions for optimal reinsurance problems involving risk measures
• VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance

Cited in

(10)

• On Pareto-optimal reinsurance with constraints under distortion risk measures
• Optimal insurance design in the presence of exclusion clauses
• The solution of the optimal insurance problem with background risk
• Marginal indemnification function formulation for optimal reinsurance
• Optimal insurance in the presence of reinsurance
• Distributionally robust goal-reaching optimization in the presence of background risk
• How much is optimal reinsurance degraded by error?
• Optimal reinsurance of dependent risks
• The reinforcement learning Kelly strategy
• Good deal indices in asset pricing: actuarial and financial implications

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