Insurer's optimal reinsurance strategies
From MaRDI portal
Publication:1584588
DOI10.1016/S0167-6687(99)00063-3zbMath0964.62099OpenAlexW1986109529MaRDI QIDQ1584588
Dariusz Zagrodny, Lestaw Gajek
Publication date: 11 January 2001
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(99)00063-3
Applications of statistics to actuarial sciences and financial mathematics (62P05) Compound decision problems in statistical decision theory (62C25)
Related Items
Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory, Optimal insurance to maximize RDEU under a distortion-deviation premium principle, Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit, Optimal premium allocation under stop-loss insurance using exposure curves, Optimal reinsurance under general risk measures, Optimal reinsurance under the general mixture risk measures, Optimal limited stop-loss reinsurance under VaR, TVaR, and CTE risk measures, CDF formulation for solving an optimal reinsurance problem, Optimal insurance in the presence of reinsurance, Optimal reinsurance with multiple reinsurers: competitive pricing and coalition stability, Proportional and excess-of-loss reinsurance under investment gains, Unifying framework for optimal insurance, Optimal reinsurance under expected value principle, Optimal reinsurance with general premium principles based on RVaR and WVaR, Optimal risk management with reinsurance and its counterparty risk hedging, Optimal proportional reinsurance and investment with minimum probability of ruin, Optimality of general reinsurance contracts under CTE risk measure, Empirical Approach for Optimal Reinsurance Design, Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles, Unnamed Item, Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation, The optimal reinsurance strategy -- the individual claim case, Optimal insurance under the insurer's risk constraint, Time dependent stop-loss reinsurance and exposure curves, Budget-constrained optimal insurance without the nonnegativity constraint on indemnities, An extension of Arrow's result on optimality of a stop loss contract, Optimal combinational of quota-share and stop-loss reinsurance contracts under VaR and CTE with a constrained reinsurance premium, Optimal reinsurance under mean-variance premium principles, Unnamed Item, Optimal Risk Transfer: A Numerical Optimization Approach, Reinsurer's optimal reinsurance strategy with upper and lower premium constraints under distortion risk measures, Optimal reinsurance with premium constraint under distortion risk measures, An optimality of change loss type strategy, Quasi-Likelihood Estimation of Benchmark Rates for Excess of Loss Reinsurance Programs, Optimal retention levels, given the joint survival of cedent and reinsurer, Mean-Variance Optimal Reinsurance Arrangements, VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
Cites Work
