A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints

DOI10.1080/03461238.2016.1193558MaRDI QIDQ4577196zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

budget constraintdistortionTVaR1-Lipschitzrisk constraintVaRparticipation constraintregulatory constraint

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• A unifying approach to constrained and unconstrained optimal reinsurance
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Cites work

• Arrow's theorem on the optimality of deductibles: A stochastic dominance approach
• Average value-at-risk minimizing reinsurance under Wang's premium principle with constraints
• Characterizations of optimal reinsurance treaties: a cost-benefit 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 insurance under Wang's premium principle.
• Optimal insurance under the insurer's risk constraint
• Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
• Optimal reinsurance under VaR and CTE risk measures
• Optimal reinsurance under VaR and CVaR risk measures a simplified approach
• Optimal reinsurance with premium constraint under distortion risk measures
• Reducing risk by merging counter-monotonic risks
• Risk Measures and Comonotonicity: A Review
• The Dual Theory of Choice under Risk

Cited in

(22)

• Multi-constrained optimal reinsurance model from the duality perspectives
• Discussion of “optimal reinsurance designs based on risk measures: a review” by Jun Cai and Yichun Chi
• Budget-constrained optimal retention with an upper limit on the retained loss
• A marginal indemnity function approach to optimal reinsurance under the Vajda condition
• Optimal XL-insurance under Wasserstein-type ambiguity
• Some optimisation problems in insurance with a terminal distribution constraint
• Empirical approach for optimal reinsurance design
• A unifying approach to constrained and unconstrained optimal reinsurance
• Revisit optimal reinsurance under a new distortion risk measure
• Stable solutions for optimal reinsurance problems involving risk measures
• Pareto-optimal reinsurance policies in the presence of individual risk constraints
• Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs
• Optimal reinsurance from the viewpoints of both an insurer and a reinsurer under the CVaR risk measure and Vajda condition
• Optimal reinsurance with general premium principles based on RVaR and WVaR
• Revisiting the optimal insurance design under adverse selection: distortion risk measures and tail-risk overestimation
• Budget-constrained optimal insurance without the nonnegativity constraint on indemnities
• A Neyman-Pearson perspective on optimal reinsurance with constraints
• Reinsurance premium principles based on weighted loss functions
• Robust reinsurance contracts with risk constraint
• Pareto-optimal reinsurance arrangements under general model settings
• Budget-constrained optimal reinsurance design under coherent risk measures
• Optimal reinsurance designs based on risk measures: a review

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