Budget-constrained optimal insurance with belief heterogeneity
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Cites work
- A Neyman-Pearson perspective on optimal reinsurance with constraints
- Actuarial bridges to dynamic hedging and option pricing
- Actuarial risk measures for financial derivative pricing
- Ambiguity on the insurer's side: the demand for insurance
- Arrow's theorem of the deductible with heterogeneous beliefs
- Bilateral risk sharing with heterogeneous beliefs and exposure constraints
- Characterizations of optimal reinsurance treaties: a cost-benefit approach
- Equimeasurable rearrangements with capacities
- scientific article; zbMATH DE number 3342731 (Why is no real title available?)
- Infinite dimensional analysis. A hitchhiker's guide.
- Marginal indemnification function formulation for optimal reinsurance
- Measure theory. Vol. I and II
- On Esscher Transforms in Discrete Finance Models
- On optimal reinsurance policy with distortion risk measures and premiums
- On the distributional transform, Sklar's theorem, and the empirical copula process
- On the optimality of a straight deductible under belief heterogeneity
- On the representation of additive principles of premium calculation
- Optimal insurance design under rank-dependent expected utility
- Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
- Optimal reinsurance under general law-invariant risk measures
- Optimal reinsurance with general risk measures
- Pareto-optimal reinsurance arrangements under general model settings
- Rearrangement inequalities in non-convex insurance models
- Risk measurement with equivalent utility principles
- Stochastic finance. An introduction in discrete time.
- Stochastic orders
- Subjective Probability and Expected Utility without Additivity
- The optimal insurance under disappointment theories
Cited in
(24)- Optimal insurance with divergent beliefs about insurer total default risk
- Budget-constrained optimal insurance without the nonnegativity constraint on indemnities
- Pareto-optimal insurance contracts with premium budget and minimum charge constraints
- Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs
- Optimal insurance under maxmin expected utility
- On the optimality of a straight deductible under belief heterogeneity
- Budget-constrained optimal retention with an upper limit on the retained loss
- Pareto-optimal insurance under heterogeneous beliefs and incentive compatibility
- Bilateral risk sharing with heterogeneous beliefs and exposure constraints
- Arrow's theorem of the deductible with heterogeneous beliefs
- Mean-variance insurance design with counterparty risk and incentive compatibility
- Optimal reinsurance designs based on risk measures: a review
- Demand for insurance with nonadditive probabilistic beliefs
- Insurance pricing in an equilibrium model
- Optimal reinsurance with general premium principles based on RVaR and WVaR
- Pareto-optimal insurance with an upper limit on the insurer's exposure
- Multi-constrained optimal reinsurance model from the duality perspectives
- Worst-case moments under partial ambiguity
- Optimal insurance for a prudent decision maker under heterogeneous beliefs
- Pareto-optimal peer-to-peer risk sharing with robust distortion risk measures
- Worst-case reinsurance strategy with likelihood ratio uncertainty
- On optimal reinsurance in the presence of premium budget constraint and reinsurer's risk limit
- Optimal insurance with belief heterogeneity and incentive compatibility
- Optimal insurance under costly falsification and costly, inexact verification
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