Optimal reinsurance with default risk: a reinsurer's perspective
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Publication:2666701
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Cites work
- Characterizations of optimal reinsurance treaties: a cost-benefit approach
- Impact of counterparty risk on the reinsurance market
- On optimal reinsurance policy with distortion risk measures and premiums
- On Pareto-optimal reinsurance with constraints under distortion risk measures
- Optimal insurance under Wang's premium principle.
- Optimal reinsurance from the perspectives of both an insurer and a reinsurer
- Optimal reinsurance in the presence of counterparty default risk
- Optimal Reinsurance Revisited – A Geometric Approach
- Optimal reinsurance subject to Vajda condition
- Optimal reinsurance under distortion risk measures and expected value premium principle for reinsurer
- Optimal reinsurance under VaR and CTE risk measures
- Optimal reinsurance under VaR and CTE risk measures when ceded loss function is concave
- Optimal reinsurance under VaR and CVaR risk measures a simplified approach
- Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit
- Optimal reinsurance under variance related premium principles
- Optimal reinsurance with expectile
- Optimal reinsurance with general premium principles
- Optimal reinsurance with premium constraint under distortion risk measures
- Optimal reinsurance with regulatory initial capital and default risk
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Optimal risk transfer under quantile-based risk measurers
- Pareto-optimal reinsurance policies in the presence of individual risk constraints
- Reinsurance arrangements minimizing the risk-adjusted value of an insurer's liability
- Reinsurer's optimal reinsurance strategy with upper and lower premium constraints under distortion risk measures
- The concept of comonotonicity in actuarial science and finance: theory.
- VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
Cited in
(22)- Optimal reinsurance in the presence of counterparty default risk
- Optimal reinsurance under distortion risk measures and expected value premium principle for reinsurer
- Optimal reinsurance and investment problem for an insurer with counterparty risk
- Optimal reinsurance with regulatory initial capital and default risk
- Optimal dynamic reinsurance with worst-case default of the reinsurer
- scientific article; zbMATH DE number 6523819 (Why is no real title available?)
- Characterizations of optimal reinsurance treaties: a cost-benefit approach
- Optimal reinsurance under expected shortfall risk measure
- Impact of counterparty risk on the reinsurance market
- Optimal reinsurance design of the implicit default risk of the reinsurance company under Wang's premium principle
- Optimal life insurance pricing with default risks
- Mean-variance insurance design with counterparty risk and incentive compatibility
- Optimal reinsurance designs based on risk measures: a review
- A hybrid model of optimal reinsurance: a discussion of ‘Optimal reinsurance designs based on risk measures: a review’ by Jun Cai and Yichun Chi
- Discussion of “optimal reinsurance designs based on risk measures: a review” by Jun Cai and Yichun Chi
- Optimal design of default risk reinsurance under general premium principle
- Optimal risk management with reinsurance and its counterparty risk hedging
- Pareto-optimal reinsurance with default risk and solvency regulation
- Bowley solution under the reinsurer's default risk
- Life reinsurance under perfect and asymmetric information
- Optimal individual health insurance strategy combined investment, consumption, income and public insurance
- Proportional reinsurance and investment based on the Ornstein-Uhlenbeck process in the presence of two reinsurers
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