Optimal reinsurance in the presence of counterparty default risk
From MaRDI portal
(Redirected from Optimal reinsurance in the presence of counterparty default risk)
counterparty default riskdistorted risk measureexpected policyholder deficitoptimal reinsurancepremium principlevalue-at-risk
Recommendations
- Impact of counterparty risk on the reinsurance market
- Optimal reinsurance with default risk: a reinsurer's perspective
- Optimal reinsurance with regulatory initial capital and default risk
- Optimal reinsurance and investment problem for an insurer with counterparty risk
- Optimal reinsurance design of the implicit default risk of the reinsurance company under Wang's premium principle
Cites work
- A new premium calculation principle based on Orlicz norms
- Empirical Estimation of Risk Measures and Related Quantities
- Haezendonck-Goovaerts risk measures and Orlicz quantiles
- Impact of counterparty risk on the reinsurance market
- Measure theory. Vol. I and II
- On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
- Optimal insurance under Wang's premium principle.
- Optimal reinsurance for variance related premium calculation principles
- Optimal reinsurance in relation to ordering of risks
- Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
- Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
- Optimal reinsurance programs: an optimal combination of several reinsurance protections on a heterogeneous insurance portfolio.
- Optimal Reinsurance Revisited – A Geometric Approach
- Optimal reinsurance under general law-invariant risk measures
- Optimal reinsurance under mean-variance premium principles
- Optimal reinsurance under VaR and CTE risk measures
- Optimal reinsurance under VaR and CVaR risk measures a simplified approach
- Optimal risk sharing under distorted probabilities
- Optimal risk sharing with background risk
- Optimal risk transfer under quantile-based risk measurers
- Optimal risk transfers in insurance groups
- Ordering risks: expected utility theory versus Yaari's dual theory of risk
- Remarks on quantiles and distortion risk measures
- Some new classes of consistent risk measures
- The concept of comonotonicity in actuarial science and finance: applications.
- The concept of comonotonicity in actuarial science and finance: theory.
- The optimal reinsurance strategy -- the individual claim case
- Truncated Stop Loss as Optimal Reinsurance Agreement in One-period Models
Cited in
(29)- Reinsurance in arbitrage-free markets
- Equilibrium recoveries in insurance markets with limited liability
- Optimal reinsurance with regulatory initial capital and default risk
- Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs
- Optimal reinsurance with default risk: a reinsurer's perspective
- Optimal dynamic reinsurance with worst-case default of the reinsurer
- scientific article; zbMATH DE number 6523819 (Why is no real title available?)
- Optimal reinsurance from the perspectives of both an insurer and a reinsurer
- Optimal reinsurance with expectile
- CDF formulation for solving an optimal reinsurance problem
- Optimal insurance in the presence of reinsurance
- Some mathematical aspects of price optimisation
- Optimal risk transfer: a numerical optimization approach
- Value adjustments and dynamic hedging of reinsurance counterparty risk
- Impact of counterparty risk on the reinsurance market
- Optimal reinsurance designs based on risk measures: a review
- Multi-constrained optimal reinsurance model from the duality perspectives
- Optimal risk management with reinsurance and its counterparty risk hedging
- Pareto-optimal reinsurance with default risk and solvency regulation
- Reinsurance games with two reinsurers: tree versus chain
- Bowley solution under the reinsurer's default risk
- Optimal insurance with counterparty and additive background risk
- Revisit optimal reinsurance under a new distortion risk measure
- Optimal reinsurance design under distortion risk measures and reinsurer's default risk with partial recovery
- Optimal insurance-reinsurance design from the perspectives of both insurers and reinsurers
- A revisit of the optimal excess-of-loss contract
- Optimal reinsurance from an optimal transport perspective
- Optimal reinsurance under endogenous default and background risk
- Optimal non-life reinsurance under Solvency II regime
This page was built for publication: Optimal reinsurance in the presence of counterparty default risk
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2015635)
