Optimal reinsurance in the presence of counterparty default risk
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Publication:2015635
DOI10.1016/J.INSMATHECO.2013.09.012zbMATH Open1290.91074OpenAlexW3122641509MaRDI QIDQ2015635FDOQ2015635
Authors: Alexandru V. Asimit, K. C. Cheung, Alexandru Badescu 
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://openaccess.city.ac.uk/id/eprint/13124/1/Opt%20Reins%20CDR%20Asimit%20Badescu%20Cheung%202013%20IME%20final.pdf
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value-at-riskoptimal reinsurancecounterparty default riskpremium principledistorted risk measureexpected policyholder deficit
Cites Work
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Cited In (25)
- Optimal insurance with counterparty and additive background risk
- Reinsurance games with two reinsurers: tree versus chain
- Equilibrium recoveries in insurance markets with limited liability
- Optimal reinsurance designs based on risk measures: a review
- Title not available (Why is that?)
- Multi-constrained optimal reinsurance model from the duality perspectives
- Optimal risk management with reinsurance and its counterparty risk hedging
- Revisit optimal reinsurance under a new distortion risk measure
- Optimal reinsurance with expectile
- Optimal risk transfer: a numerical optimization approach
- Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs
- Value adjustments and dynamic hedging of reinsurance counterparty risk
- Optimal insurance in the presence of reinsurance
- Optimal reinsurance with regulatory initial capital and default risk
- Optimal reinsurance from the perspectives of both an insurer and a reinsurer
- Optimal non-life reinsurance under Solvency II regime
- Optimal dynamic reinsurance with worst-case default of the reinsurer
- Bowley solution under the reinsurer's default risk
- Optimal reinsurance with default risk: a reinsurer's perspective
- Reinsurance in arbitrage-free markets
- CDF formulation for solving an optimal reinsurance problem
- Impact of counterparty risk on the reinsurance market
- Some mathematical aspects of price optimisation
- Optimal reinsurance design under distortion risk measures and reinsurer's default risk with partial recovery
- Pareto-optimal reinsurance with default risk and solvency regulation
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