Recommendations
- An optimal allocation of risk and insurance problems
- OPTIMAL NUMERAIRES FOR RISK MEASURES
- Risk transference constraints in optimal reinsurance
- 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
- A note on generalized inverses
- After VAR: the theory, estimation, and insurance applications of quantile-based risk measures
- Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
- Coherent measures of risk
- Conditional value-at-risk bounds for compound Poisson risks and a normal approximation
- Market-consistent actuarial valuation
- OPTIMAL NUMERAIRES FOR RISK MEASURES
- On minimizing the ruin probability by investment and reinsurance
- Optimal Dynamic XL Reinsurance
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Optimal Reinsurance Revisited – A Geometric Approach
- Optimal insurance under Wang's premium principle.
- Optimal reinsurance for variance related premium calculation principles
- 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 VaR and CVaR risk measures a simplified approach
- Optimal reinsurance under mean-variance premium principles
- Optimal risk sharing under distorted probabilities
- Optimality results for dividend problems in insurance
- Pareto efficient insurance contracts when the insurer's cost function is discontinuous
- The optimal reinsurance strategy -- the individual claim case
- Truncated Stop Loss as Optimal Reinsurance Agreement in One-period Models
Cited in
(31)- Optimal risk allocation in reinsurance networks
- Optimal reinsurance designs based on risk measures: a review
- 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
- Optimal reinsurance with expectile
- Optimal risk transfer: a numerical optimization approach
- The optimal retrospective reinsurance with the minimum risk-adjusted value
- Extremes for coherent risk measures
- Optimal reinsurance under the risk-adjusted value of an insurer's liability and an economic reinsurance premium principle
- OPTIMAL NUMERAIRES FOR RISK MEASURES
- Robust and Pareto optimality of insurance contracts
- Optimal insurance design in the presence of exclusion clauses
- Regulatory arbitrage of risk measures
- Background risk models and stepwise portfolio construction
- Optimal reinsurance subject to Vajda condition
- Optimal risk transfer under quantile-based risk measurers
- Convex ordering for insurance preferences
- Characterizing optimal allocations in quantile-based risk sharing
- Diversification effect in multivariate optimal risk transfer
- Portfolio selection and risk sharing via risk budgeting
- Risk redistribution games with dual utilities
- On the group level Swiss Solvency Test
- Optimal reinsurance in the presence of counterparty default risk
- Competitive equilibria with distortion risk measures
- Intragroup transfers, intragroup diversification and their risk assessment
- Efficient risk allocation within a non-life insurance group under Solvency II regime
- Pareto-optimal reinsurance for both the insurer and the reinsurer under the risk-adjusted value and general premium principles
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