Mean-Variance Optimal Reinsurance Arrangements
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Cites work
- scientific article; zbMATH DE number 42097 (Why is no real title available?)
- Insurer's optimal reinsurance strategies
- Optimal reinsurance under mean-variance premium principles
- Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
- Portfolio Optimization
- Solvency margins and equalization reserves
Cited in
(38)- Optimal reinsurance programs: an optimal combination of several reinsurance protections on a heterogeneous insurance portfolio.
- Optimal limited stop-loss reinsurance under VaR, TVaR, and CTE risk measures
- Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
- Optimal reinsurance under the Haezendonck risk measure
- Optimal insurance to maximize RDEU under a distortion-deviation premium principle
- A continuous-time theory of reinsurance chains
- Time dependent stop-loss reinsurance and exposure curves
- Concave distortion risk minimizing reinsurance design under adverse selection
- Contagion modeling between the financial and insurance markets with time changed processes
- Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
- An extension of Arrow's result on optimality of a stop loss contract
- Optimal quota share reinsurance for dependent lines of business
- The influence of correlation and loading on M-V efficient retentions in variable quota share proportional reinsurance
- Optimal proportional reinsurance under two criteria: maximizing the expected utility and minimizing the value at risk
- Optimal reinsurance for variance related premium calculation principles
- Optimal reinsurance under general law-invariant risk measures
- Optimal dynamic reinsurance with dependent risks: variance premium principle
- Optimal risk transfer: a numerical optimization approach
- Optimal proportional reinsurance with common shock dependence
- Optimal premium allocation under stop-loss insurance using exposure curves
- How much is optimal reinsurance degraded by error?
- Reinsurance contract design with adverse selection
- Mean-variance optimal local reinsurance contracts
- Empirical approach for optimal reinsurance design
- Optimal reinsurance design: a mean-variance approach
- scientific article; zbMATH DE number 5027121 (Why is no real title available?)
- Optimal reinsurance under mean-variance premium principles
- Optimal layer reinsurance on the maximization of the adjustment coefficient
- Optimal reinsurance with probabilistic constraints under distortion risk measure
- Optimality of general reinsurance contracts under CTE risk measure
- Robust optimal per-loss reinsurance strategy for an ambiguity-averse insurer
- Optimal joint survival reinsurance: an efficient frontier approach
- New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
- Optimal reinsurance from an optimal transport perspective
- Reinsurer's optimal reinsurance strategy with upper and lower premium constraints under distortion risk measures
- Analytical pricing of time dependent stop-loss reinsurance and exposure curves under time-changed Brownian motion
- Evolutionary credibility risk premium
- Optimal reinsurance under VaR and CTE risk measures
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