VaR and CTE based optimal reinsurance from a reinsurer's perspective

DOI10.1007/S10473-020-0619-2MaRDI QIDQ2151981zbMATHOpenAlexFDO

Authors Yanyan Li

Publication date 5 July 2022

Published in Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10473-020-0619-2

zbMATH Keywords

value at riskoptimal reinsuranceexpectation premium principleconditional tail expectationdistortion premium principle

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 6830767 (Why is no real title available?)
• scientific article; zbMATH DE number 6129554 (Why is no real title available?)
• A Neyman-Pearson perspective on optimal reinsurance with constraints
• A unifying approach to constrained and unconstrained optimal reinsurance
• Characterizations of optimal reinsurance treaties: a cost-benefit approach
• Marginal indemnification function formulation for optimal reinsurance
• On Pareto-optimal reinsurance with constraints under distortion risk measures
• Optimal Reinsurance Revisited – A Geometric Approach
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Optimal insurance and generalized deductibles
• Optimal insurance design in the presence of exclusion clauses
• Optimal proportional reinsurance and investment for a constant elasticity of variance model under variance principle
• Optimal reinsurance from the perspectives of both an insurer and a reinsurer
• Optimal reinsurance subject to Vajda condition
• Optimal reinsurance under VaR and CTE risk measures
• Optimal reinsurance under VaR and CTE risk measures when ceded loss function is concave
• Optimal reinsurance under VaR and CVaR risk measures a simplified approach
• Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit
• Optimal reinsurance under distortion risk measures and expected value premium principle for reinsurer
• Optimal reinsurance with expectile
• Optimal reinsurance with general premium principles
• Optimal reinsurance with premium constraint under distortion risk measures
• Optimal reinsurance with regulatory initial capital and default risk
• The concept of comonotonicity in actuarial science and finance: theory.
• The optimal strategy for an insurance company under the influence of the terminal value
• VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance

Cited in

(6)

• The optimal reinsurance strategy under conditional tail expectation (CTE) and Wang's premium principle
• Are quantile risk measures suitable for risk-transfer decisions?
• Optimal reinsurance with concave ceded loss functions under VaR and CTE risk measures
• VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
• Optimal reinsurance under VaR and CTE risk measures when ceded loss function is concave
• Optimal reinsurance under VaR and CVaR risk measures a simplified approach

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