Performance-based variable premium scheme and reinsurance design

DOI10.1016/J.INSMATHECO.2025.103169MaRDI QIDQ6875944zbMATH OpenFDO

Authors Ziyue Shi, David Landriault, F. Liu

Publication date 13 January 2026

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.INSMATHECO.2025.103169

zbMATH Keywords

Bowley optimaldistortion risk measureoptimal reinsurance policyreinsurance pricingvariable premium scheme

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites work

• A Bowley solution with limited ceded risk for a monopolistic reinsurer
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• Bowley reinsurance with asymmetric information: a first-best solution
• Bowley solution of a mean-variance game in insurance
• Bowley vs. Pareto optima in reinsurance contracting
• Bowley-optimal convex-loaded premium principles
• Chains of reinsurance
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• Convex risk functionals: representation and applications
• Distortion riskmetrics on general spaces
• Equilibrium in a Reinsurance Market
• On convex principles of premium calculation
• Optimal insurance under Wang's premium principle.
• Optimal reinsurance in relation to ordering of risks
• Optimal reinsurance under mean-variance premium principles
• Optimal reinsurance under VaR and CTE risk measures
• Risk-adjusted bowley reinsurance under distorted probabilities
• The design of an optimal retrospective rating plan
• Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance

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