Risk transference constraints in optimal reinsurance

DOI10.1016/J.INSMATHECO.2021.12.004MaRDI QIDQ2670119zbMATH OpenOpenAlexFDO

Authors Beatriz Balbás, Raquel Balbás, Antonio Heras, Alejandro Balbás

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.2021.12.004

zbMATH Keywords

marginal indemnitymoral hazardoptimal reinsurancerelationships between premium and transferred riskrisk measure

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

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Cited in

(12)

• Optimal reinsurance under risk and uncertainty
• Optimal risk transfer under quantile-based risk measurers
• Optimal risk transfers in insurance groups
• Risk theory and reinsurance. Translated from the French by Urmie Ray
• Reexamining the feasibility of diversification and transfer instruments on smoothing catastrophe risk
• Bowley vs. Pareto optima in reinsurance contracting
• An insurer's optimal strategy towards a new independent business
• Optimal reinsurance design under solvency constraints
• Actuarial pricing with financial methods
• Equilibria and efficiency in a reinsurance market
• Optimal moral-hazard-free reinsurance under extended distortion premium principles
• Optimal reinsurance from an optimal transport perspective

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