Diversification effect in multivariate optimal risk transfer
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Cites work
- A marginal indemnity function approach to optimal reinsurance under the Vajda condition
- A revisit of the optimal excess-of-loss contract
- A simple general approach to inference about the tail of a distribution
- A simple resampling method by perturbing the minimand
- Dependence structure of risk factors and diversification effects
- Diversification in catastrophe insurance markets
- Efficient risk allocation within a non-life insurance group under Solvency II regime
- Estimating the probability of a rare event via elliptical copulas
- scientific article; zbMATH DE number 4043055 (Why is no real title available?)
- Multivariate reinsurance designs for minimizing an insurer's capital requirement
- On optimal reinsurance policy with distortion risk measures and premiums
- Optimal non-life reinsurance under Solvency II regime
- Optimal reinsurance and stop-loss order
- Optimal reinsurance under mean-variance premium principles
- Optimal reinsurance under VaR and CTE risk measures
- Optimal reinsurance with general premium principles
- Optimal reinsurance with general risk measures
- Optimal reinsurance with multivariate risks and dependence uncertainty
- Optimal reinsurance with positively dependent risks
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Optimal risk transfer under quantile-based risk measurers
- Optimal risk transfers in insurance groups
- Optimal risk-sharing across a network of insurance companies
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