Concave distortion risk minimizing reinsurance design under adverse selection
From MaRDI portal
Publication:2306100
DOI10.1016/j.insmatheco.2020.02.001zbMath1435.91142OpenAlexW3004543265MaRDI QIDQ2306100
Sheung Chi Phillip Yam, Ka Chun Cheung, Fei Lung Yuen, Yiying Zhang
Publication date: 20 March 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.02.001
individual rationalityrisk managementprincipal-agent problemdistortion risk measureincentive compatibility
Related Items
Revisiting the optimal insurance design under adverse selection: distortion risk measures and tail-risk overestimation, How Much Is Optimal Reinsurance Degraded by Error?, Optimal allocation of policy limits in layer reinsurance treaties, Concave/convex weighting and utility functions for risk: a new light on classical theorems, OPTIMAL REINSURANCE DESIGN WITH DISTORTION RISK MEASURES AND ASYMMETRIC INFORMATION, Bowley reinsurance with asymmetric information on the insurer's risk preferences
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Marginal indemnification function formulation for optimal reinsurance
- Are quantile risk measures suitable for risk-transfer decisions?
- Stable solutions for optimal reinsurance problems involving risk measures
- Behavioral optimal insurance
- Minimum standards for investment performance: a new perspective on non-life insurer solvency
- TVaR-based capital allocation with copulas
- Dynamic capital allocation with distortion risk measures
- Properties of distortion risk measures
- Stochastic orders
- Optimal reinsurance under convex principles of premium calculation
- Optimal reinsurance under VaR and CTE risk measures
- Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
- Optimal reinsurance with general risk measures
- A general model of insurance under adverse selection
- Robust and Pareto optimality of insurance contracts
- Insurance contracts with imprecise probabilities and adverse selection
- Optimal insurance under Wang's premium principle.
- On optimal reinsurance policy with distortion risk measures and premiums
- Rearrangement inequalities in non-convex insurance models
- Risk-adjusted bowley reinsurance under distorted probabilities
- Reinsurance and securitisation of life insurance risk: the impact of regulatory constraints
- Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
- An extension of Arrow's result on optimality of a stop loss contract
- Optimal reinsurance with premium constraint under distortion risk measures
- Average Value-at-Risk Minimizing Reinsurance under Wang's Premium Principle with Constraints
- Private Information and Insurance Rejections
- Mean-Variance Optimal Reinsurance Arrangements
- Optimal Reinsurance Revisited – A Geometric Approach
- Solvency II: stability problems with the SCR aggregation formula
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Monopoly, Non-Linear Pricing and Imperfect Information: The Insurance Market
- Characterizations of optimal reinsurance treaties: a cost-benefit approach
- Robust reinsurance contracts in continuous time
- Optimal insurance with adverse selection
- Reinsurance contract design with adverse selection
- Distortion Risk Measures and Economic Capital
