Optimal Reinsurance Revisited – A Geometric Approach
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Publication:3569712
value-at-riskreinsuranceconditional tail expectationincreasing convex functionWang's premium principleexpectation premium principle: comonotinicity
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Cites work
- scientific article; zbMATH DE number 3671542 (Why is no real title available?)
- An extension of Arrow's result on optimality of a stop loss contract
- Axiomatic characterization of insurance prices
- Non-additive measure and integral
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Optimal insurance under Wang's premium principle.
- Optimal reinsurance in relation to ordering of risks
- Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
- Optimal reinsurance programs: an optimal combination of several reinsurance protections on a heterogeneous insurance portfolio.
- Optimal reinsurance under VaR and CTE risk measures
- Optimal reinsurance under convex principles of premium calculation
- Optimal reinsurance under mean-variance premium principles
- Risk Measures and Comonotonicity: A Review
- Some mathematical aspects of reinsurance
- The Dual Theory of Choice under Risk
Cited in
(81)- Optimal reinsurance policy under a new distortion risk measure
- Optimal reinsurance with default risk: a reinsurer's perspective
- Multi-constrained optimal reinsurance model from the duality perspectives
- Optimal risk management with reinsurance and its counterparty risk hedging
- Enhancing an insurer's expected value by reinsurance and external financing
- Pareto-optimal reinsurance for both the insurer and the reinsurer under the risk-adjusted value and general premium principles
- Optimal reinsurance with probabilistic constraints under distortion risk measure
- Optimal reinsurance with Wang's premium principle
- Optimal reinsurance with general premium principles based on RVaR and WVaR
- Modeling frost losses: application to pricing frost insurance
- Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
- How much is optimal reinsurance degraded by error?
- The design of an optimal retrospective rating plan
- Optimal reinsurance designs based on risk measures: a review
- On the Optimal Pricing of a Heterogeneous Portfolio
- Optimal allocation of policy limits in layer reinsurance treaties
- An insurer's optimal strategy towards a new independent business
- Optimal reinsurance design under distortion risk measures and reinsurer's default risk with partial recovery
- Orthogonal polynomial expansions to evaluate stop-loss premiums
- Optimal risk transfers in insurance groups
- The role of a representative reinsurer in optimal reinsurance
- Optimal reinsurance with expectile
- The optimal insurance under disappointment theories
- Optimal insurance design in the presence of exclusion clauses
- 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
- A reinsurance game between two insurance companies with nonlinear risk processes
- Multivariate reinsurance designs for minimizing an insurer's capital requirement
- Pareto-optimal reinsurance revisited: a two-stage optimisation procedure approach
- Optimal reinsurance under general law-invariant risk measures
- Optimal reinsurance arrangements in the presence of two reinsurers
- Optimal reinsurance with premium constraint under distortion risk measures
- Pareto-optimal insurance contracts with premium budget and minimum charge constraints
- Optimal reinsurance for both an insurer and a reinsurer under general premium principles
- Marginal indemnification function formulation for optimal reinsurance
- Optimal insurance with belief heterogeneity and incentive compatibility
- Designing sound deposit insurances
- A unifying approach to constrained and unconstrained optimal reinsurance
- Optimal reinsurance from the perspectives of both an insurer and a reinsurer
- Efficient risk allocation within a non-life insurance group under Solvency II regime
- Reinsurance contract design with adverse selection
- Pareto-optimal reinsurance policies with maximal synergy
- Optimal reinsurance under distortion risk measures and expected value premium principle for reinsurer
- Pareto-optimal reinsurance for both the insurer and the reinsurer with general premium principles
- VaR and CTE based optimal reinsurance from a reinsurer's perspective
- Optimal proportional reinsurance under two criteria: maximizing the expected utility and minimizing the value at risk
- Convex risk functionals: representation and applications
- On Pareto-optimal reinsurance with constraints under distortion risk measures
- Concave distortion risk minimizing reinsurance design under adverse selection
- Optimal retention for a stop-loss reinsurance with incomplete information
- Optimal non-life reinsurance under Solvency II regime
- Optimal reinsurance under VaR and CTE risk measures when ceded loss function is concave
- Pareto-optimal reinsurance under individual risk constraints
- Revisiting the optimal insurance design under adverse selection: distortion risk measures and tail-risk overestimation
- Optimal reinsurance with general premium principles
- A Neyman-Pearson perspective on optimal reinsurance with constraints
- On randomized reinsurance contracts
- Reinsurer's optimal reinsurance strategy with upper and lower premium constraints under distortion risk measures
- Optimal quota-share and stop-loss reinsurance from the perspectives of insurer and reinsurer
- Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
- Optimal reinsurance subject to Vajda condition
- Optimal risk transfer under quantile-based risk measurers
- Optimal reinsurance design: a mean-variance approach
- Optimal reinsurance under variance related premium principles
- CDF formulation for solving an optimal reinsurance problem
- Reinsurance premium principles based on weighted loss functions
- Robust reinsurance contracts with risk constraint
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- Optimal risk transfer: a numerical optimization approach
- Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit
- On optimal reinsurance policy with distortion risk measures and premiums
- Optimal reinsurance with regulatory initial capital and default risk
- On the uncertainty of VaR of individual risk
- Optimal incentive-compatible insurance with background risk
- Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework
- Optimal reinsurance design for Pareto optimum: from the perspective of multiple reinsurers
- Characterizations of optimal reinsurance treaties: a cost-benefit approach
- Optimal insurance design under background risk with dependence
- Optimal reinsurance in the presence of counterparty default risk
- Risk-adjusted bowley reinsurance under distorted probabilities
- Behavioral optimal insurance
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