Optimal VaR-based risk management with reinsurance
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risk managementvalue-at-risk (VaR)counterparty riskmonotonic piecewise premium principlemultiple reinsurersoptimal strategyreinsurance
Recommendations
- Optimal reinsurance under VaR and CVaR risk measures a simplified approach
- VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
- Optimal reinsurance under variance related premium principles
- Optimal reinsurance with general premium principles
- Optimal reinsurance under VaR and CTE risk measures
Cites work
- scientific article; zbMATH DE number 1249326 (Why is no real title available?)
- Coherent measures of risk
- On Stop-Loss Order and the Distortion Pricing Principle
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Optimal insurance under Wang's premium principle.
- Optimal reinsurance arrangements in the presence of two reinsurers
- Optimal reinsurance subject to Vajda condition
- Optimal reinsurance under VaR and CTE risk measures
- Optimal reinsurance under VaR and CVaR risk measures a simplified approach
- Optimal reinsurance under convex principles of premium calculation
- Optimal reinsurance under general risk measures
- Optimal reinsurance under mean-variance premium principles
- Optimal reinsurance with general premium principles
- Optimal reinsurance with general risk measures
- Optimal risk transfer under quantile-based risk measurers
- Optimality of general reinsurance contracts under CTE risk measure
- The concept of comonotonicity in actuarial science and finance: theory.
Cited in
(16)- The role of a representative reinsurer in optimal reinsurance
- Optimal risk management with reinsurance and its counterparty risk hedging
- An optimal reinsurance simulation model for non-life insurance in the Solvency II framework
- A marginal indemnity function approach to optimal reinsurance under the Vajda condition
- Empirical approach for optimal reinsurance design
- Pareto-optimal reinsurance policies in the presence of individual risk constraints
- Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs
- Risk management with weighted VaR
- Optimal reinsurance under VaR and CVaR risk measures a simplified approach
- Equilibrium reinsurance-investment strategies with partial information and common shock dependence
- Optimal reinsurance with multiple reinsurers: competitive pricing and coalition stability
- On the existence of a representative reinsurer under heterogeneous beliefs
- Optimal reinsurance under the risk-adjusted value of an insurer's liability and an economic reinsurance premium principle
- How much is optimal reinsurance degraded by error?
- A note on optimal insurance risk control with multiple reinsurers
- The design of an optimal retrospective rating plan
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