Pareto-optimal reinsurance arrangements under general model settings
From MaRDI portal
Publication:1681082
DOI10.1016/j.insmatheco.2017.08.004zbMath1422.91329OpenAlexW2586328217MaRDI QIDQ1681082
Jun Cai, Haiyan Liu, Ruodu Wang
Publication date: 23 November 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.08.004
Pareto optimalityoptimal reinsurancetail-value-at-riskcomonotonic-convexitycomonotonic-semilinearity
Related Items
Optimal reinsurance designs based on risk measures: a review, On Pareto-optimal reinsurance with constraints under distortion risk measures, Optimal reinsurance for both an insurer and a reinsurer under general premium principles, Robust reinsurance contract with learning and ambiguity aversion, Optimal insurance to maximize RDEU under a distortion-deviation premium principle, An optimal reinsurance simulation model for non-life insurance in the Solvency II framework, A marginal indemnity function approach to optimal reinsurance under the Vajda condition, A constraint-free approach to optimal reinsurance, Optimal reinsurance from the perspectives of both insurers and reinsurers under the VaR risk measure and Vajda condition, Pareto-optimal reinsurance policies with maximal synergy, Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance, Risk measures induced by efficient insurance contracts, Risk-adjusted bowley reinsurance under distorted probabilities, Optimal insurance under rank-dependent expected utility, Optimal reinsurance policy under a new distortion risk measure, Multi-constrained optimal reinsurance model from the duality perspectives, Pareto-optimal reinsurance with default risk and solvency regulation, Multivariate Insurance Portfolio Risk Retention Using the Method of Multipliers, Bowley solution under the reinsurer's default risk, Variance insurance contracts, WEIGHTED COMONOTONIC RISK SHARING UNDER HETEROGENEOUS BELIEFS, Pareto-optimal insurance contracts with premium budget and minimum charge constraints, Pareto-optimal reinsurance policies in the presence of individual risk constraints, OPTIMAL REINSURANCE FROM THE VIEWPOINTS OF BOTH AN INSURER AND A REINSURER UNDER THE CVAR RISK MEASURE AND VAJDA CONDITION, Risk sharing with multiple indemnity environments, UNIVERSALLY MARKETABLE INSURANCE UNDER MULTIVARIATE MIXTURES, Pareto-optimal reinsurance revisited: a two-stage optimisation procedure approach, Budget-constrained optimal insurance with belief heterogeneity, Insurance with multiple insurers: a game-theoretic approach, Bowley solution of a mean-variance game in insurance, Convex risk functionals: representation and applications, Competitive equilibria in a comonotone market, Reinsurance premium principles based on weighted loss functions, Nash equilibria in optimal reinsurance bargaining
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders
- Optimal capital and risk allocations for law- and cash-invariant convex functions
- On convex risk measures on \(L^{p}\)-spaces
- The concept of comonotonicity in actuarial science and finance: theory.
- Optimal reinsurance with positively dependent risks
- Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
- Optimal Reinsurance under VaR and CVaR Risk Measures: a Simplified Approach
- General Pareto Optimal Allocations and Applications to Multi-Period Risks
- OPTIMAL REINSURANCE FROM THE PERSPECTIVES OF BOTH AN INSURER AND A REINSURER
- A NEYMAN-PEARSON PERSPECTIVE ON OPTIMAL REINSURANCE WITH CONSTRAINTS
- Characterizations of optimal reinsurance treaties: a cost-benefit approach
- Optimal reinsurance under general law-invariant risk measures
- A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints
- OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS