Optimal reinsurance in the presence of counterparty default risk
From MaRDI portal
Publication:2015635
value-at-riskoptimal reinsurancecounterparty default riskpremium principledistorted risk measureexpected policyholder deficit
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 Reinsurance Revisited – A Geometric Approach
- 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 under VaR and CTE risk measures
- Optimal reinsurance under VaR and CVaR risk measures a simplified approach
- Optimal reinsurance under general law-invariant risk measures
- Optimal reinsurance under mean-variance premium principles
- 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
(25)- Optimal reinsurance with default risk: a reinsurer's perspective
- Multi-constrained optimal reinsurance model from the duality perspectives
- Optimal risk management with reinsurance and its counterparty risk hedging
- Some mathematical aspects of price optimisation
- Optimal reinsurance with expectile
- Optimal insurance with counterparty and additive background risk
- Reinsurance games with two reinsurers: tree versus chain
- Value adjustments and dynamic hedging of reinsurance counterparty risk
- Reinsurance in arbitrage-free markets
- Optimal reinsurance from the perspectives of both an insurer and a reinsurer
- Revisit optimal reinsurance under a new distortion risk measure
- scientific article; zbMATH DE number 6523819 (Why is no real title available?)
- Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs
- Optimal non-life reinsurance under Solvency II regime
- Impact of counterparty risk on the reinsurance market
- Pareto-optimal reinsurance with default risk and solvency regulation
- Optimal dynamic reinsurance with worst-case default of the reinsurer
- Optimal insurance in the presence of reinsurance
- Bowley solution under the reinsurer's default risk
- CDF formulation for solving an optimal reinsurance problem
- Equilibrium recoveries in insurance markets with limited liability
- Optimal risk transfer: a numerical optimization approach
- Optimal reinsurance with regulatory initial capital and default risk
- Optimal reinsurance designs based on risk measures: a review
- Optimal reinsurance design under distortion risk measures and reinsurer's default risk with partial recovery
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)
