Optimal risk transfers in insurance groups

DOI10.1007/s13385-013-0068-6zbMath1270.91028MaRDI QIDQ362045

Andreas Tsanakas, Alexandru V. Asimit, Alexandru M. Badescu

Publication date: 20 August 2013

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/5983/1/AsimitBadescuTsanakas2013.pdf

zbMATH Keywords

value-at-risk; optimal reinsurance; expected shortfall; cost of capital; insurance groups

Mathematics Subject Classification ID

90C90: Applications of mathematical programming

Related Items

COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES, RISK REDISTRIBUTION GAMES WITH DUAL UTILITIES, Optimal reinsurance with expectile, Optimal Risk Transfer: A Numerical Optimization Approach, Regulatory arbitrage of risk measures, 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, Background risk models and stepwise portfolio construction, Convex ordering for insurance preferences, Characterizing optimal allocations in quantile-based risk sharing, Efficient risk allocation within a non-life insurance group under Solvency II regime, On Pareto-optimal reinsurance with constraints under distortion risk measures, Robust and Pareto optimality of insurance contracts, Optimal risk allocation in reinsurance networks, Optimal reinsurance in the presence of counterparty default risk, Optimal risk sharing in insurance networks. An application to asset-liability management, Optimal risk-sharing across a network of insurance companies, Extremes for coherent risk measures, Intragroup transfers, intragroup diversification and their risk assessment, Optimal insurance design in the presence of exclusion clauses, Optimal reinsurance subject to Vajda condition, Optimal reinsurance with multiple reinsurers: competitive pricing and coalition stability

Cites Work

• Unnamed Item
• The optimal reinsurance strategy -- the individual claim case
• Optimal reinsurance under VaR and CTE risk measures
• Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
• Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
• Pareto efficient insurance contracts when the insurer's cost function is discontinuous
• Optimal reinsurance programs: an optimal combination of several reinsurance protections on a heterogeneous insurance portfolio.
• Optimal reinsurance in relation to ordering of risks
• Conditional value-at-risk bounds for compound Poisson risks and a normal approximation
• On minimizing the ruin probability by investment and reinsurance
• Optimal risk sharing under distorted probabilities
• Optimal insurance under Wang's premium principle.
• A note on generalized inverses
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Coherent Measures of Risk
• Optimal Reinsurance under VaR and CVaR Risk Measures: a Simplified Approach
• OPTIMAL NUMERAIRES FOR RISK MEASURES
• Optimal Reinsurance for Variance Related Premium Calculation Principles
• Optimal Reinsurance Revisited – A Geometric Approach
• Optimal Dynamic XL Reinsurance
• Truncated Stop Loss as Optimal Reinsurance Agreement in One-period Models
• Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance
• Market-consistent actuarial valuation
• Optimal reinsurance under mean-variance premium principles