Marginal indemnification function formulation for optimal reinsurance
From MaRDI portal
Publication:282271
DOI10.1016/J.INSMATHECO.2015.12.003zbMATH Open1348.91196OpenAlexW3122409549MaRDI QIDQ282271FDOQ282271
Authors: Sheng Chao Zhuang, Chengguo Weng, Ken Seng Tan, Hirbod Assa 
Publication date: 12 May 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.12.003
Recommendations
- On optimal reinsurance policy with distortion risk measures and premiums
- Budget-constrained optimal reinsurance design under coherent risk measures
- CDF formulation for solving an optimal reinsurance problem
- Optimal reinsurance with premium constraint under distortion risk measures
- A unifying approach to constrained and unconstrained optimal reinsurance
distortion risk measureinverse-S shaped distortion premium principleLagrangian dual methodmarginal indemnification functionoptimal reinsurance
Applications of statistics to actuarial sciences and financial mathematics (62P05) Utility theory (91B16)
Cites Work
- Advances in prospect theory: cumulative representation of uncertainty
- Pricing insurance contracts under cumulative prospect theory
- Parameter-Free Elicitation of Utility and Probability Weighting Functions
- Optimal reinsurance with general risk measures
- Remarks on quantiles and distortion risk measures
- Optimal insurance under Wang's premium principle.
- Optimal reinsurance under risk and uncertainty
- 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
- Cumulative prospect theory and the St. Petersburg paradox
- Optimal reinsurance with premium constraint under distortion risk measures
- Optimal Reinsurance Revisited – A Geometric Approach
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Curvature of the Probability Weighting Function
- Optimal reinsurance under general law-invariant risk measures
- Title not available (Why is that?)
- Optimal reinsurance under mean-variance premium principles
- Optimality of general reinsurance contracts under CTE risk measure
- Optimal reinsurance under VaR and CTE risk measures
Cited In (64)
- Pareto-optimal insurance contracts with premium budget and minimum charge constraints
- How Much Is Optimal Reinsurance Degraded by Error?
- Bowley reinsurance with asymmetric information on the insurer's risk preferences
- Pareto-optimal insurance under heterogeneous beliefs and incentive compatibility
- Budget-constrained optimal insurance with belief heterogeneity
- Optimal Reinsurance Under the Risk-Adjusted Value of an Insurer’s Liability and an Economic Reinsurance Premium Principle
- Optimal reinsurance designs based on risk measures: a review
- On the existence of a representative reinsurer under heterogeneous beliefs
- Optimal insurance under rank-dependent expected utility
- On Pareto-optimal reinsurance with constraints under distortion risk measures
- Optimal reinsurance with multiple reinsurers: competitive pricing and coalition stability
- Optimal insurance under maxmin expected utility
- Insurance choice under third degree stochastic dominance
- Price Index Insurances in the Agriculture Markets
- Agricultural Insurance Ratemaking: Development of a New Premium Principle
- MEAN–VARIANCE INSURANCE DESIGN WITH COUNTERPARTY RISK AND INCENTIVE COMPATIBILITY
- Risk transference constraints in optimal reinsurance
- Optimal reinsurance under risk and uncertainty on Orlicz hearts
- Pareto-optimal reinsurance policies with maximal synergy
- Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs
- Pareto-optimal reinsurance under individual risk constraints
- 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 on the paper ‘Optimal reinsurance design based on risk measures: a review’ by Yichun Chi and Jun Cai
- Discussion of “optimal reinsurance designs based on risk measures: a review” by Jun Cai and Yichun Chi
- The role of a representative reinsurer in optimal reinsurance
- Concave distortion risk minimizing reinsurance design under adverse selection
- VaR as the CVaR sensitivity: applications in risk optimization
- Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
- VaR and CTE based optimal reinsurance from a reinsurer's perspective
- Optimal insurance in the presence of reinsurance
- A continuous-time theory of reinsurance chains
- A marginal indemnity function approach to optimal reinsurance under the Vajda condition
- Budget-constrained optimal reinsurance design under coherent risk measures
- Optimal XL-insurance under Wasserstein-type ambiguity
- OPTIMAL INSURANCE CONTRACTS UNDER DISTORTION RISK MEASURES WITH AMBIGUITY AVERSION
- Dynamic reinsurance in discrete time minimizing the insurer's cost of capital
- Revisiting the optimal insurance design under adverse selection: distortion risk measures and tail-risk overestimation
- The effect of risk constraints on the optimal insurance policy
- WEIGHTED COMONOTONIC RISK SHARING UNDER HETEROGENEOUS BELIEFS
- A NEYMAN-PEARSON PERSPECTIVE ON OPTIMAL REINSURANCE WITH CONSTRAINTS
- CDF formulation for solving an optimal reinsurance problem
- Optimal insurance with belief heterogeneity and incentive compatibility
- Nash equilibria in optimal reinsurance bargaining
- Optimal reinsurance with general premium principles based on RVaR and WVaR
- Modeling Frost Losses: Application to Pricing Frost Insurance
- Optimal reinsurance with model uncertainty and Stackelberg game
- A unifying approach to constrained and unconstrained optimal reinsurance
- Pareto-optimal reinsurance policies in the presence of individual risk constraints
- Budget-constrained optimal insurance without the nonnegativity constraint on indemnities
- OPTIMAL REINSURANCE DESIGN WITH DISTORTION RISK MEASURES AND ASYMMETRIC INFORMATION
- Minimizing the probability of ruin: optimal per-loss reinsurance
- Bilateral risk sharing in a comonotone market with rank-dependent utilities
- Robust insurance design with distortion risk measures
- V@R representation theorems in ambiguous frameworks
- Multi-constrained optimal reinsurance model from the duality perspectives
- Optimal risk management with reinsurance and its counterparty risk hedging
- Revisit optimal reinsurance under a new distortion risk measure
- Title not available (Why is that?)
- Good deal indices in asset pricing: actuarial and financial implications
- Equilibria and efficiency in a reinsurance market
- Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle
- Optimal insurance for a prudent decision maker under heterogeneous beliefs
- Stackelberg equilibria with multiple policyholders
- Worst-case risk with unspecified risk preferences
This page was built for publication: Marginal indemnification function formulation for optimal reinsurance
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q282271)
