Optimal reinsurance under risk and uncertainty

DOI10.1016/j.insmatheco.2014.11.001zbMath1308.91075OpenAlexW2035315567MaRDI QIDQ2260946

Beatriz Balbás, Antonio Heras, Raquel Balbás, Alejandro Balbas

Publication date: 13 March 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/19024

zbMATH Keywords

optimality conditionsoptimal reinsurancemoral hazardrisk and uncertaintybang-bang solutionoptimal reinsurance linear problem

Mathematics Subject Classification ID

Related Items (31)

Discussion on the paper ‘Optimal reinsurance design based on risk measures: a review’ by Yichun Chi and Jun Cai ⋮ Marginal indemnification function formulation for optimal reinsurance ⋮ Robust reinsurance contract with learning and ambiguity aversion ⋮ VaR as the CVaR sensitivity: applications in risk optimization ⋮ Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer ⋮ Good deals and benchmarks in robust portfolio selection ⋮ OPTIMAL REINSURANCE FROM THE PERSPECTIVES OF BOTH AN INSURER AND A REINSURER ⋮ A NEYMAN-PEARSON PERSPECTIVE ON OPTIMAL REINSURANCE WITH CONSTRAINTS ⋮ Optimal reinsurance under risk and uncertainty on Orlicz hearts ⋮ CDF formulation for solving an optimal reinsurance problem ⋮ Optimal insurance in the presence of reinsurance ⋮ How Much Is Optimal Reinsurance Degraded by Error? ⋮ Regret-based optimal insurance design ⋮ Risk transference constraints in optimal reinsurance ⋮ Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility ⋮ Robust and Pareto optimality of insurance contracts ⋮ Optimal insurance under rank-dependent expected utility ⋮ Optimal robust insurance with a finite uncertainty set ⋮ Actuarial pricing with financial methods ⋮ Optimal Reinsurance Under the Risk-Adjusted Value of an Insurer’s Liability and an Economic Reinsurance Premium Principle ⋮ Optimal initial capital induced by the optimized certainty equivalent ⋮ Robust reinsurance contracts with uncertainty about jump risk ⋮ Differential equations connecting VaR and CVaR ⋮ Optimal XL-insurance under Wasserstein-type ambiguity ⋮ Insurance with multiple insurers: a game-theoretic approach ⋮ Omega ratio optimization with actuarial and financial applications ⋮ Optimal stop-loss reinsurance with joint utility constraints ⋮ Optimal Risk Transfer: A Numerical Optimization Approach ⋮ Golden options in financial mathematics ⋮ Budget-constrained optimal reinsurance design under coherent risk measures ⋮ On the uncertainty of VaR of individual risk

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stable solutions for optimal reinsurance problems involving risk measures
• Optimal reinsurance under convex principles of premium calculation
• Insurance pricing under ambiguity
• Some new classes of consistent risk measures
• Optimal reinsurance with general risk measures
• Theory of multiobjective optimization
• Maxmin expected utility with non-unique prior
• Optimal reinsurance with general premium principles
• Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
• Generalized deviations in risk analysis
• Coherent Measures of Risk
• Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Optimal Stopping With Multiple Priors
• Optimal reinsurance under general law-invariant risk measures
• Dual Stochastic Dominance and Related Mean-Risk Models
• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• Empirical Approach for Optimal Reinsurance Design
• Good deals in markets with friction
• Optimal reinsurance
• Probability

This page was built for publication: Optimal reinsurance under risk and uncertainty