Optimal VaR-based risk management with reinsurance
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Publication:286007
DOI10.1007/S10479-014-1584-8zbMATH Open1341.91089OpenAlexW2067761883MaRDI QIDQ286007FDOQ286007
Authors: Jianfa Cong, Ken Seng Tan 
Publication date: 19 May 2016
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-014-1584-8
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risk managementvalue-at-risk (VaR)counterparty riskmonotonic piecewise premium principlemultiple reinsurersoptimal strategyreinsurance
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- Optimality of general reinsurance contracts under CTE risk measure
- Optimal reinsurance under general risk measures
- Optimal reinsurance under convex principles of premium calculation
- Optimal reinsurance under VaR and CTE risk measures
Cited In (13)
- How Much Is Optimal Reinsurance Degraded by Error?
- Optimal Reinsurance Under the Risk-Adjusted Value of an Insurer’s Liability and an Economic Reinsurance Premium Principle
- On the existence of a representative reinsurer under heterogeneous beliefs
- Optimal reinsurance with multiple reinsurers: competitive pricing and coalition stability
- Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs
- The role of a representative reinsurer in optimal reinsurance
- A marginal indemnity function approach to optimal reinsurance under the Vajda condition
- THE DESIGN OF AN OPTIMAL RETROSPECTIVE RATING PLAN
- Optimal reinsurance under VaR and CVaR risk measures a simplified approach
- Equilibrium reinsurance-investment strategies with partial information and common shock dependence
- A note on optimal insurance risk control with multiple reinsurers
- Pareto-optimal reinsurance policies in the presence of individual risk constraints
- Risk management with weighted VaR
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