Optimal reinsurance with premium constraint under distortion risk measures

DOI10.1016/j.insmatheco.2014.08.010zbMath1306.91089OpenAlexW2118166143MaRDI QIDQ2514611

Wei Cui, YanTing Zheng

Publication date: 3 February 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.08.010

zbMATH Keywords

distortion risk measurestop loss reinsuranceTVaRVaRexpected value premium principletruncated stop-loss reinsurance

Mathematics Subject Classification ID

Related Items (18)

Optimal reinsurance designs based on risk measures: a review ⋮ Marginal indemnification function formulation for optimal reinsurance ⋮ VaR and CTE based optimal reinsurance from a reinsurer's perspective ⋮ A NEYMAN-PEARSON PERSPECTIVE ON OPTIMAL REINSURANCE WITH CONSTRAINTS ⋮ A class of distortion measures generated from expectile and its estimation ⋮ Characterizations of optimal reinsurance treaties: a cost-benefit approach ⋮ A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints ⋮ Optimal reinsurance with default risk: a reinsurer's perspective ⋮ Lower and upper bounds for survival functions of the smallest and largest claim amounts in layer coverages ⋮ Optimal reinsurance with general premium principles based on RVaR and WVaR ⋮ Multi-constrained optimal reinsurance model from the duality perspectives ⋮ Pareto-optimal insurance contracts with premium budget and minimum charge constraints ⋮ Unnamed Item ⋮ OPTIMAL REINSURANCE FROM THE VIEWPOINTS OF BOTH AN INSURER AND A REINSURER UNDER THE CVAR RISK MEASURE AND VAJDA CONDITION ⋮ Reinsurer's optimal reinsurance strategy with upper and lower premium constraints under distortion risk measures ⋮ The role of a representative reinsurer in optimal reinsurance ⋮ Concave distortion risk minimizing reinsurance design under adverse selection ⋮ A unifying approach to constrained and unconstrained optimal reinsurance

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