A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints
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Publication:4577196
DOI10.1080/03461238.2016.1193558zbMATH Open1402.91208OpenAlexW2415580236MaRDI QIDQ4577196FDOQ4577196
Authors: Ambrose Lo 
Publication date: 17 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2016.1193558
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budget constraintdistortionTVaR1-Lipschitzrisk constraintVaRparticipation constraintregulatory constraint
Cites Work
- The Dual Theory of Choice under Risk
- Arrow's theorem on the optimality of deductibles: A stochastic dominance approach
- Optimal insurance under Wang's premium principle.
- Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
- Optimal reinsurance with premium constraint under distortion risk measures
- Optimal reinsurance under VaR and CVaR risk measures a simplified approach
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Optimal insurance in the presence of insurer's loss limit
- Optimal reinsurance under VaR and CTE risk measures
- Risk Measures and Comonotonicity: A Review
- Optimal insurance under the insurer's risk constraint
- Reducing risk by merging counter-monotonic risks
- Characterizations of optimal reinsurance treaties: a cost-benefit approach
- Average value-at-risk minimizing reinsurance under Wang's premium principle with constraints
Cited In (22)
- Budget-constrained optimal retention with an upper limit on the retained loss
- Optimal reinsurance designs based on risk measures: a review
- Reinsurance premium principles based on weighted loss functions
- Stable solutions for optimal reinsurance problems involving risk measures
- Multi-constrained optimal reinsurance model from the duality perspectives
- Empirical approach for optimal reinsurance design
- Revisit optimal reinsurance under a new distortion risk measure
- A Neyman-Pearson perspective on optimal reinsurance with constraints
- Robust reinsurance contracts with risk constraint
- Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs
- Discussion of “optimal reinsurance designs based on risk measures: a review” by Jun Cai and Yichun Chi
- Optimal reinsurance from the viewpoints of both an insurer and a reinsurer under the CVaR risk measure and Vajda condition
- Pareto-optimal reinsurance arrangements under general model settings
- A marginal indemnity function approach to optimal reinsurance under the Vajda condition
- Budget-constrained optimal reinsurance design under coherent risk measures
- Optimal XL-insurance under Wasserstein-type ambiguity
- Revisiting the optimal insurance design under adverse selection: distortion risk measures and tail-risk overestimation
- Some optimisation problems in insurance with a terminal distribution constraint
- Optimal reinsurance with general premium principles based on RVaR and WVaR
- A unifying approach to constrained and unconstrained optimal reinsurance
- Pareto-optimal reinsurance policies in the presence of individual risk constraints
- Budget-constrained optimal insurance without the nonnegativity constraint on indemnities
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