Pareto-optimal insurance contracts with premium budget and minimum charge constraints
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Publication:2212154
DOI10.1016/j.insmatheco.2020.08.001zbMath1452.91257OpenAlexW3080610293MaRDI QIDQ2212154
Wing Fung Chong, Junlei Hu, Ka Chun Cheung, Alexandru V. Asimit
Publication date: 19 November 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://openaccess.city.ac.uk/id/eprint/24893/1/Pareto_Constrained_August_7_2020.pdf
Pareto optimalitybargaining powervalue-at-risktail value-at-riskminimum chargeoptimal insurance contract designpremium budgetproportional hazard transformation
Related Items (6)
Optimal reinsurance with general premium principles based on RVaR and WVaR ⋮ Multi-constrained optimal reinsurance model from the duality perspectives ⋮ Pareto-optimal reinsurance with default risk and solvency regulation ⋮ Variance insurance contracts ⋮ OPTIMAL REINSURANCE FROM THE VIEWPOINTS OF BOTH AN INSURER AND A REINSURER UNDER THE CVAR RISK MEASURE AND VAJDA CONDITION ⋮ Risk sharing with multiple indemnity environments
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