Optimal risk transfer: a numerical optimization approach
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Cites work
- A D.C. Optimization Algorithm for Solving the Trust-Region Subproblem
- A difference of convex formulation of value-at-risk constrained optimization
- An introduction to copulas.
- Applications of second-order cone programming
- Axiomatic characterization of insurance prices
- Coherent measures of risk
- Efficient risk allocation within a non-life insurance group under Solvency II regime
- Empirical approach for optimal reinsurance design
- Impact of counterparty risk on the reinsurance market
- Insurer's optimal reinsurance strategies
- Mean-Variance Optimal Reinsurance Arrangements
- Optimal reinsurance in the presence of counterparty default risk
- Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
- Optimal Reinsurance Revisited – A Geometric Approach
- Optimal reinsurance under mean-variance premium principles
- Optimal reinsurance under risk and uncertainty
- Optimal reinsurance under VaR and CTE risk measures
- Optimal reinsurance with positively dependent risks
- Optimal reinsurance with regulatory initial capital and default risk
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- Optimal risk transfer under quantile-based risk measurers
- Optimal risk transfers in insurance groups
- Perspectives of Risk Sharing
- Polynomial convergence of primal-dual algorithms for the second-order cone program based on the MZ-family of directions
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- Second-order cone programming
- Self-Scaled Barriers and Interior-Point Methods for Convex Programming
Cited in
(11)- Risk transportation via a clique number problem formulation.
- Robust and Pareto optimality of insurance contracts
- Optimal risk sharing in insurance networks. An application to asset-liability management
- Pareto-optimal insurance contracts with premium budget and minimum charge constraints
- Optimal risk transfer and investment policies based upon stochastic differential utilities
- Optimal robust insurance with a finite uncertainty set
- Reinsurance of multiple risks with generic dependence structures
- Empirical tail risk management with model-based annealing random search
- Algorithmic Insurable Risk Portfolios
- Optimal reinsurance design under the moment-based premium principle: a representative reinsurer's perspective
- Efficient risk allocation within a non-life insurance group under Solvency II regime
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