Optimal reinsurance with expectile
From MaRDI portal
Publication:4575369
DOI10.1080/03461238.2014.994025zbMath1401.91106OpenAlexW1976175849MaRDI QIDQ4575369
Publication date: 13 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2014.994025
coherentrisk measureliabilityreinsuranceexpectilerisk marginpremium principleactuarial reserveelicitable
Related Items
Optimal reinsurance designs based on risk measures: a review, On Pareto-optimal reinsurance with constraints under distortion risk measures, Tail asymptotics of generalized deflated risks with insurance applications, VaR and CTE based optimal reinsurance from a reinsurer's perspective, A constraint-free approach to optimal reinsurance, Optimal insurance design in the presence of exclusion clauses, Characterizations of optimal reinsurance treaties: a cost-benefit approach, Optimal reinsurance with default risk: a reinsurer's perspective, Optimal insurance design under Vajda condition and exclusion clauses, Robust and Pareto optimality of insurance contracts, Composite bias‐reduced Lp‐quantile‐based estimators of extreme quantiles and expectiles, Optimal robust insurance with a finite uncertainty set, Optimal non-life reinsurance under Solvency II regime, Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables, An insurer's optimal strategy towards a new independent business, Multi-constrained optimal reinsurance model from the duality perspectives, Distributionally robust reinsurance with expectile, Parametric expectile regression and its application for premium calculation, Estimation of conditional extreme risk measures from heavy-tailed elliptical random vectors, Optimal strategies under omega ratio, RISK MEASURES DERIVED FROM A REGULATOR’S PERSPECTIVE ON THE REGULATORY CAPITAL REQUIREMENTS FOR INSURERS, OPTIMAL REINSURANCE FROM THE VIEWPOINTS OF BOTH AN INSURER AND A REINSURER UNDER THE CVAR RISK MEASURE AND VAJDA CONDITION, Mean-expectile portfolio selection, Reinsurance premium principles based on weighted loss functions, Extreme $$L^p$$-quantile Kernel Regression
Cites Work
- Making and Evaluating Point Forecasts
- Asymmetric Least Squares Estimation and Testing
- Assessing value at risk with CARE, the conditional autoregressive expectile models
- Optimal risk transfers in insurance groups
- Optimal reinsurance under general risk measures
- Optimal reinsurance with general risk measures
- Optimal insurance under Wang's premium principle.
- Generalized quantiles as risk measures
- Optimal reinsurance in the presence of counterparty default risk
- Optimal reinsurance with positively dependent risks
- Optimal reinsurance subject to Vajda condition
- Optimal risk transfer under quantile-based risk measurers
- Optimal reinsurance with regulatory initial capital and default risk
- Reinsurance Arrangements Minimizing the Risk-Adjusted Value of an Insurer's Liability
- Optimal Reinsurance Revisited – A Geometric Approach
- Optimal reinsurance under general law-invariant risk measures
- Optimal reinsurance arrangements in the presence of two reinsurers
- Market-consistent actuarial valuation
