Optimal reinsurance in relation to ordering of risks

DOI10.1016/0167-6687(89)90041-3zbMATH Open0683.62060OpenAlexW2029799315MaRDI QIDQ1824976FDOQ1824976

Authors: A. E. van Heerwaarden, Rob Kaas, Marc J. Goovaerts 

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1016/0167-6687(89)90041-3

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zbMATH Keywords

expected utilityoptimal contractconcave utility functionreinsurance contractsreinsurance premiumcompound models for portfolios of risksdegrees of coveragepartial preference ordering of risksstop-loss ordering of risks

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• On convex principles of premium calculation
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• Optimal reinsurances

Cited In (92)

• Optimal reinsurance designs based on risk measures: a review
• Optimal insurance design under Vajda condition and exclusion clauses
• Optimal risk management with reinsurance and its counterparty risk hedging
• Insurance choice under third degree stochastic dominance
• Characterization of higher-degree dispersion, right spread and stop-loss transform orders
• The design of an optimal retrospective rating plan
• Optimal reinsurance design: a mean-variance approach
• Optimal reinsurance with risks positively dependent through the stochastic ordering
• Optimal reinsurance under the risk-adjusted value of an insurer's liability and an economic reinsurance premium principle
• Optimal insurance design under background risk with dependence
• Stochastic comparison on active redundancy allocation to K-out-of-N systems with statistically dependent component and redundancy lifetimes
• Optimal insurance with background risk: an analysis of general dependence structures
• On the randomized Schmitter problem
• Applications of the aversion order of risks in reinsurance
• Some new results on aggregate claim amounts from two heterogeneous Marshall-Olkin extended exponential portfolios
• Optimal insurance design in the presence of exclusion clauses
• Ruin probability and time of ruin with a proportional reinsurance threshold strategy
• Ordering results for aggregate claim amounts from two heterogeneous Marshall-Olkin extended exponential portfolios and their applications in insurance analysis
• Optimal insurance design under asymmetric Nash bargaining
• Title not available (Why is that?)
• ON WEIGHTED K-OUT-OF-N SYSTEMS WITH STATISTICALLY DEPENDENT COMPONENT LIFETIMES
• Optimal insurance and reinsurance policies chosen jointly in the individual risk model
• Time stochastic \(s\)-convexity of claim processes
• A dynamic reinsurance theory
• On the accumulated aggregate surplus of a life portfolio.
• On coverage limits and deductibles for SAI loss severities
• Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings
• Ordering claim size distributions and mixed Poisson probabilities
• Some new classes of stochastic order relations among arithmetic random variables, with applications in actuarial sciences
• Non-exponential bounds for stop-loss premiums and ruin probabilities
• Optimal approximations for risk measures of sums of lognormals based on conditional expectations
• Ordering risks: expected utility theory versus Yaari's dual theory of risk
• Bounds and approximations for sums of dependent log-elliptical random variables
• Case study on the optimality of reinsurance contracts
• Optimal stop-loss reinsurance: a dependence analysis
• Optimal reinsurance with positively dependent risks
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• On \(s\)-convex stochastic extrema for arithmetic risks
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• Some alternatives for the individual model
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• Best bounds for expected financial payoffs. I: Algorithmic evaluation
• Best bounds for expected financial payoffs. II: Applications
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• Optimal risk transfer under quantile-based risk measurers
• Title not available (Why is that?)
• Optimal reinsurance and stop-loss order
• A class of bivariate stochastic orderings, with applications in actuarial sciences
• The safest dependence structure among risks.
• Convex ordering for insurance preferences
• VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
• Risk exchange II: Optimal reinsurance contracts
• Lorenz and Excess Wealth Orders, with Applications in Reinsurance Theory
• Weighted risk capital allocations
• Truncated Stop Loss as Optimal Reinsurance Agreement in One-period Models
• Default probabilities of a holding company, with complete and partial information
• On Quasi-mean value principles
• Optimal reinsurance in the presence of counterparty default risk
• On non-monotonic ageing properties from the Laplace transform, with actuarial applications
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• On some properties of two vector-valued VaR and CTE multivariate risk measures for Archimedean copulas
• Comonotonic convex upper bound and majorization
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• Stochastic orders in dynamic reinsurance markets
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• Ordering of risks in life insurance
• Optimal Reinsurance Revisited – A Geometric Approach
• Stationary-excess operator and convex stochastic orders
• Budget-constrained optimal insurance without the nonnegativity constraint on indemnities
• Optimal reinsurance programs: an optimal combination of several reinsurance protections on a heterogeneous insurance portfolio.
• On the optimality of a straight deductible under belief heterogeneity

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