Risk sharing with multiple indemnity environments

DOI10.1016/J.EJOR.2021.03.012MaRDI QIDQ2239902zbMATH OpenOpenAlexFDO

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)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

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

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)

Recommendations

• scientific article; zbMATH DE number 3854747
• Perspectives of Risk Sharing
• Reinsurance of multiple risks with generic dependence structures
• Liability sharing and the role of insurance for environmental accidents
• Risk sharing with competition
• scientific article; zbMATH DE number 1066450
• Risk sharing in the small and in the large
• Risk sharing for capital requirements with multidimensional security markets
• Sharing risk and ambiguity
• Sharing risk -- an economic perspective

Cites work

• A course in game theory.
• Characterizations of optimal reinsurance treaties: a cost-benefit approach
• Competition among non-life insurers under solvency constraints: a game-theoretic approach
• Convex ordering for insurance preferences
• Existence of an Equilibrium for a Competitive Economy
• Insurance with multiple insurers: a game-theoretic approach
• Nonlinear multiobjective optimization
• On Pareto-optimal reinsurance with constraints under distortion risk measures
• On optimal reinsurance policy with distortion risk measures and premiums
• On randomized reinsurance contracts
• On the existence of a representative reinsurer under heterogeneous beliefs
• Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
• Optimal insurance with background risk: an analysis of general dependence structures
• Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
• Optimal reinsurance under variance related premium principles
• Optimal risk sharing with background risk
• PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS
• Pareto-optimal insurance contracts with premium budget and minimum charge constraints
• Pareto-optimal reinsurance arrangements under general model settings
• Pareto-optimal reinsurance policies in the presence of individual risk constraints
• Stable solutions for optimal reinsurance problems involving risk measures
• The Nash bargaining solution is optimal
• The Nash bargaining solution vs. equilibrium in a reinsurance syndicate
• The bargaining problem
• The optimal insurance under disappointment theories

Cited in

(9)

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

This page was built for publication: Risk sharing with multiple indemnity environments

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2239902)