Optimal reinsurance in relation to ordering of risks
From MaRDI portal
Publication:1824976
DOI10.1016/0167-6687(89)90041-3zbMath0683.62060OpenAlexW2029799315MaRDI QIDQ1824976
A. E. van Heerwaarden, Marc J. Goovaerts, Rob Kaas
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
expected utilityoptimal contractconcave utility functionreinsurance contractsreinsurance premiumcompound models for portfolios of risksdegrees of coveragepartial preference ordering of risksstop-loss ordering of risks
Related Items
Upper stop-loss bounds for sums of possibly dependent risks with given means and variances ⋮ Optimal reinsurance designs based on risk measures: a review ⋮ Insurance choice under third degree stochastic dominance ⋮ On coverage limits and deductibles for SAI loss severities ⋮ Optimal allocation of policy deductibles for exchangeable risks ⋮ Some alternatives for the individual model ⋮ Optimal insurance design under background risk with dependence ⋮ On the randomized Schmitter problem ⋮ Order relations for some distributions ⋮ Ordering claim size distributions and mixed Poisson probabilities ⋮ THE DESIGN OF AN OPTIMAL RETROSPECTIVE RATING PLAN ⋮ On non-monotonic ageing properties from the Laplace transform, with actuarial applications ⋮ Best bounds for expected financial payoffs. I: Algorithmic evaluation ⋮ Best bounds for expected financial payoffs. II: Applications ⋮ Optimal reinsurance under the general mixture risk measures ⋮ Optimal risk transfers in insurance groups ⋮ Optimal insurance design in the presence of exclusion clauses ⋮ A unification of some order relations ⋮ Axiomatic characterization of insurance prices ⋮ Some new classes of stochastic order relations among arithmetic random variables, with applications in actuarial sciences ⋮ Approximations for stop-loss reinsurance premiums ⋮ Optimal reinsurance under convex principles of premium calculation ⋮ Optimal insurance design under Vajda condition and exclusion clauses ⋮ The concept of comonotonicity in actuarial science and finance: theory. ⋮ Optimal non-life reinsurance under Solvency II regime ⋮ Ruin probability and time of ruin with a proportional reinsurance threshold strategy ⋮ ON WEIGHTED K-OUT-OF-N SYSTEMS WITH STATISTICALLY DEPENDENT COMPONENT LIFETIMES ⋮ Optimal risk management with reinsurance and its counterparty risk hedging ⋮ Optimal reinsurance with positively dependent risks ⋮ Efficient risk allocation within a non-life insurance group under Solvency II regime ⋮ Stochastic comparison on active redundancy allocation to K-out-of-N systems with statistically dependent component and redundancy lifetimes ⋮ Distribution-free comparison of pricing principles. ⋮ Laplace transform ordering of actuarial quantities. ⋮ On the accumulated aggregate surplus of a life portfolio. ⋮ On immunization, stop-loss order and the maximum Shiu measure. ⋮ Ordering ruin probabilities for dependent claim streams. ⋮ Optimal insurance with background risk: an analysis of general dependence structures ⋮ Unnamed Item ⋮ Optimal Reinsurance Design: A Mean-Variance Approach ⋮ Optimal Reinsurance Under the Risk-Adjusted Value of an Insurer’s Liability and an Economic Reinsurance Premium Principle ⋮ Optimal insurance under multiple sources of risk with positive dependence ⋮ Optimal risk transfer under quantile-based risk measurers ⋮ The safest dependence structure among risks. ⋮ On \(s\)-convex stochastic extrema for arithmetic risks ⋮ ON THE OPTIMALITY OF A STRAIGHT DEDUCTIBLE UNDER BELIEF HETEROGENEITY ⋮ Stationary-excess operator and convex stochastic orders ⋮ Comonotonic convex upper bound and majorization ⋮ On Quasi-mean value principles ⋮ Convex ordering for insurance preferences ⋮ Ordering Results for Aggregate Claim Amounts from Two Heterogeneous Marshall--Olkin Extended Exponential Portfolios and Their Applications in Insurance Analysis ⋮ Optimal approximations for risk measures of sums of lognormals based on conditional expectations ⋮ Some new results on aggregate claim amounts from two heterogeneous Marshall–Olkin extended exponential portfolios ⋮ Optimal Reinsurance Revisited – A Geometric Approach ⋮ Budget-constrained optimal insurance without the nonnegativity constraint on indemnities ⋮ Characterization of higher-degree dispersion, right spread and stop-loss transform orders ⋮ Weighted risk capital allocations ⋮ Non-exponential bounds for stop-loss premiums and ruin probabilities ⋮ Upper and lower bounds for sums of random variables ⋮ Optimal reinsurance in the presence of counterparty default risk ⋮ Default probabilities of a holding company, with complete and partial information ⋮ On Multiply Monotone Distributions, Continuous or Discrete, with Applications ⋮ ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS ⋮ Ruin Probabilities in the Compound Markov Binomial Model ⋮ Properties of the Esscher premium calculation principle ⋮ Ordering risks: expected utility theory versus Yaari's dual theory of risk ⋮ Optimal reinsurance and stop-loss order ⋮ Comonotonicity, correlation order and premium principles ⋮ Bounds and approximations for sums of dependent log-elliptical random variables ⋮ Risk preference modeling with conditional average: An application to portfolio optimization ⋮ Ordering of risks under PH-transforms ⋮ A class of bivariate stochastic orderings, with applications in actuarial sciences ⋮ Time stochastic \(s\)-convexity of claim processes ⋮ Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings ⋮ Extensions of Ohlin's lemma with applications to optimal reinsurance structures ⋮ Lorenz and Excess Wealth Orders, with Applications in Reinsurance Theory ⋮ VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
Cites Work
