Optimal risk transfers in insurance groups
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Publication:362045
DOI10.1007/S13385-013-0068-6zbMATH Open1270.91028OpenAlexW3122195949MaRDI QIDQ362045FDOQ362045
A. Tsanakas, Alexandru Badescu, Alexandru V. Asimit
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
Recommendations
- An optimal allocation of risk and insurance problems
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- Optimal insurance under the insurer's risk constraint
- Optimal risk-sharing across a network of insurance companies
- Optimal allocation of policy deductibles for exchangeable risks
- Efficient risk allocation within a non-life insurance group under Solvency II regime
- Optimal Insurance and Reinsurance Policies in the Risk Process
- Optimal risk allocation in reinsurance networks
- Optimal risk sharing in insurance networks. An application to asset-liability management
Cites Work
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- OPTIMAL NUMERAIRES FOR RISK MEASURES
- Title not available (Why is that?)
- Optimal Dynamic XL Reinsurance
- Truncated Stop Loss as Optimal Reinsurance Agreement in One-period Models
- Market-consistent actuarial valuation
- The optimal reinsurance strategy -- the individual claim case
Cited In (27)
- 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
- Optimal risk allocation in reinsurance networks
- On Pareto-optimal reinsurance with constraints under distortion risk measures
- Optimal risk sharing in insurance networks. An application to asset-liability management
- Optimal risk-sharing across a network of insurance companies
- Optimal reinsurance with multiple reinsurers: competitive pricing and coalition stability
- Asymptotics for value at risk and conditional tail expectation of a portfolio loss
- Optimal Group Size in Joint Liability Contracts
- RISK REDISTRIBUTION GAMES WITH DUAL UTILITIES
- Optimal reinsurance with expectile
- COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES
- Extremes for coherent risk measures
- OPTIMAL NUMERAIRES FOR RISK MEASURES
- Robust and Pareto optimality of insurance contracts
- Regulatory arbitrage of risk measures
- Optimal insurance design in the presence of exclusion clauses
- Background risk models and stepwise portfolio construction
- Optimal reinsurance subject to Vajda condition
- Convex ordering for insurance preferences
- Characterizing optimal allocations in quantile-based risk sharing
- Optimal reinsurance in the presence of counterparty default risk
- Intragroup transfers, intragroup diversification and their risk assessment
- Optimal Risk Transfer: A Numerical Optimization Approach
- Efficient risk allocation within a non-life insurance group under Solvency II regime
- Title not available (Why is that?)
- Pareto-optimal reinsurance for both the insurer and the reinsurer under the risk-adjusted value and general premium principles
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