A unifying approach to constrained and unconstrained optimal reinsurance
From MaRDI portal
Publication:2315813
DOI10.1016/j.cam.2019.03.046zbMath1422.91356arXiv1807.06892OpenAlexW2884718329WikidataQ128118015 ScholiaQ128118015MaRDI QIDQ2315813
Publication date: 26 July 2019
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1807.06892
geometric approachconstrained optimization problemdistortion risk measureLagrangian dual methodunconstrained optimization problemdistortion premium principle
Related Items
Optimal reinsurance for both an insurer and a reinsurer under general premium principles ⋮ VaR and CTE based optimal reinsurance from a reinsurer's perspective ⋮ Optimal reinsurance from the perspectives of both insurers and reinsurers under the VaR risk measure and Vajda condition ⋮ Optimal reinsurance with general premium principles based on RVaR and WVaR ⋮ Optimal reinsurance policy under a new distortion risk measure ⋮ Multi-constrained optimal reinsurance model from the duality perspectives ⋮ Some optimisation problems in insurance with a terminal distribution constraint ⋮ OPTIMAL REINSURANCE FROM THE VIEWPOINTS OF BOTH AN INSURER AND A REINSURER UNDER THE CVAR RISK MEASURE AND VAJDA CONDITION ⋮ Pareto-optimal reinsurance revisited: a two-stage optimisation procedure approach ⋮ Convergence Analysis of Solution Sets for Minty Vector Quasivariational Inequality Problems in Banach Spaces
Cites Work
- Marginal indemnification function formulation for optimal reinsurance
- Optimality of general reinsurance contracts under CTE risk measure
- Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables
- Insurance with multiple insurers: a game-theoretic approach
- Optimal reinsurance with both proportional and fixed costs
- Optimal reinsurance under VaR and CTE risk measures
- Optimal reinsurance with general risk measures
- On Pareto-optimal reinsurance with constraints under distortion risk measures
- Two sufficient conditions for convex ordering on risk aggregation
- Stochastic optimal control of investment and dividend payment model under debt control with time-inconsistency
- Remarks on equality of two distributions under some partial orders
- Remarks on quantiles and distortion risk measures
- Optimal insurance under Wang's premium principle.
- On optimal reinsurance policy with distortion risk measures and premiums
- Optimal reinsurance with general premium principles
- Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
- Optimal reinsurance subject to Vajda condition
- Optimal reinsurance with premium constraint under distortion risk measures
- The role of a representative reinsurer in optimal reinsurance
- Optimal Reinsurance under VaR and CVaR Risk Measures: a Simplified Approach
- Risk Measures and Comonotonicity: A Review
- Optimal Reinsurance Revisited – A Geometric Approach
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS
- Characterizations of optimal reinsurance treaties: a cost-benefit approach
- Optimal reinsurance under general law-invariant risk measures
- Optimal insurance in the presence of reinsurance
- Optimal reinsurance under mean-variance premium principles
