Portfolio risk analysis of excess of loss reinsurance

DOI10.1016/J.INSMATHECO.2021.11.004MaRDI QIDQ2670110zbMATH OpenOpenAlexFDO

Authors Zhiwei Tong, Li Xun, Qihe Tang

Publication date 10 March 2022

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2021.11.004

zbMATH Keywords

distortion risk measureslaw of large numbersmixtureretentionsolvency capital requirement

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)

Recommendations

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Cites work

• A general approach to full-range tail dependence copulas
• Bowley reinsurance with asymmetric information on the insurer's risk preferences
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• LARGE DEVIATIONS IN MULTIFACTOR PORTFOLIO CREDIT RISK
• Large portfolio losses in a turbulent market
• On a bivariate copula with both upper and lower full-range tail dependence
• On univariate extreme value statistics and the estimation of reinsurance premiums
• Optimal reinsurance designs based on risk measures: a review
• Pareto distributions
• Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
• Quantitative risk management. Concepts, techniques and tools
• Reduced-bias estimator of the Proportional Hazard Premium for heavy-tailed distributions
• Reinsurance. Actuarial and statistical aspects
• Remarks on quantiles and distortion risk measures
• Risk exchange I: A unification of some existing results
• Risk-adjusted bowley reinsurance under distorted probabilities
• Sharp asymptotics for large portfolio losses under extreme risks

Cited in

(2)

• Optimal design of fixed and variable costs in peer-to-peer insurance with heterogeneous risk
• Portfolio default losses driven by idiosyncratic risks

Describes a project that uses

Uses Software

• QRM

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