Risk sharing with multiple indemnity environments

DOI10.1016/J.EJOR.2021.03.012zbMATH Open1487.91103OpenAlexW3154722776MaRDI QIDQ2239902FDOQ2239902

Authors: Alexandru V. Asimit, Tim J. Boonen, Yichun Chi, Wing Fung Chong 

Publication date: 5 November 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2021.03.012

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zbMATH Keywords

risk managementvalue-at-riskheterogeneous beliefstail value-at-riskoptimal insuranceenvironment-specific layer indemnitiesmultiple risk environments

Mathematics Subject Classification ID

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

Cites Work

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Cited In (9)

• Optimal design for network mutual aid
• Risk sharing under heterogeneous beliefs without convexity
• Pricing of insurance-linked securities: a multi-peril approach
• On a Markovian game model for competitive insurance pricing
• A marginal indemnity function approach to optimal reinsurance under the Vajda condition
• Structured reinsurance deals with reference to relative market performance
• An insurer's optimal strategy towards a new independent business
• Pareto-optimal reinsurance with default risk and solvency regulation
• Immunization of multiple liabilities

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