Reinsurance. Actuarial and statistical aspects
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Publication:4589363
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(only showing first 100 items - show all)- Reinsurance and ruin
- Modelling censored losses using splicing: a global fit strategy with mixed Erlang and extreme value distributions
- On randomized reinsurance contracts
- Optimal risk allocation in reinsurance networks
- Transitory mortality jump modeling with renewal process and its impact on pricing of catastrophic bonds
- On the usefulness of the logarithmic skew normal distribution for describing claims size data
- Threshold selection and trimming in extremes
- Omega ratio optimization with actuarial and financial applications
- Multivariate matrix Mittag-Leffler distributions
- Trimmed extreme value estimators for censored heavy-tailed data
- Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails
- On the estimation of the variability in the distribution tail
- Insurance with heterogeneous preferences
- More for less insurance model: an alternative to (re)insurance
- On the randomized Schmitter problem
- An optimal reinsurance simulation model for non-life insurance in the Solvency II framework
- Premium rating without losses
- Efficient evaluation of alternative reinsurance strategies using control variates
- A novel claim size distribution based on a Birnbaum-Saunders and gamma mixture capturing extreme values in insurance: estimation, regression, and applications
- Multivariate matrix-exponential affine mixtures and their applications in risk theory
- The single server queue with mixing dependencies
- Regression for copula-linked compound distributions with applications in modeling aggregate insurance claims
- Matrix Mittag-Leffler distributions and modeling heavy-tailed risks
- A decomposition of general premium principles into risk and deviation
- Minimizing spectral risk measures applied to Markov decision processes
- Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
- On a family of risk measures based on largest claims
- Analysis of risk measures for reinsurance layers
- Reinsurance under the LCR and ECOMOR treaties with emphasis on light-tailed claims
- Reinsurance of large claims
- Extreme value estimation of the conditional risk premium in reinsurance
- A hybrid deep learning method for optimal insurance strategies: algorithms and convergence analysis
- Mean-variance investment and risk control strategies -- a time-consistent approach via a forward auxiliary process
- Structured reinsurance deals with reference to relative market performance
- Reinsurance of multiple risks with generic dependence structures
- Portfolio risk analysis of excess of loss reinsurance
- Risk transference constraints in optimal reinsurance
- Extreme-value based estimation of the conditional tail moment with application to reinsurance rating
- Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals
- A numerical approach to ruin models with excess of loss reinsurance and reinstatements
- Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes
- A constraint-free approach to optimal reinsurance
- Introducing the non-homogeneous compound-birth process
- Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility
- Optimal insurance strategies: a hybrid deep learning Markov chain approximation approach
- Combined tail estimation using censored data and expert information
- Value adjustments and dynamic hedging of reinsurance counterparty risk
- TEMPERED PARETO-TYPE MODELLING USING WEIBULL DISTRIBUTIONS
- Generalizing the log-Moyal distribution and regression models for heavy-tailed loss data
- Fitting Nonstationary Cox Processes: An Application to Fire Insurance Data
- Inhomogeneous phase-type distributions and heavy tails
- On marine liability portfolio modeling
- On excess-of-loss reinsurance
- Ruin theory with excess of loss reinsurance and reinstatements
- Dynamic reinsurance in discrete time minimizing the insurer's cost of capital
- Phase-type distributions for claim severity regression modeling
- Bias reduced peaks over threshold tail estimation
- Optimal reinsurance designs based on risk measures: a review
- A discussion of ‘optimal reinsurance designs based on risk measures: a review’
- Copula Regression for Compound Distributions with Endogenous Covariates with Applications in Insurance Deductible Pricing
- Continuous scaled phase-type distributions
- The arctan family of distributions: New results with applications
- Optimal insurance design under mean-variance preference with narrow framing
- Sequential Monte Carlo samplers to fit and compare insurance loss models
- Enhanced pricing and management of bundled insurance risks with dependence-aware prediction using pair copula construction
- Bounds for Gini's mean difference based on first four moments, with some applications
- Stackelberg reinsurance chain under model ambiguity
- Optimal reinsurance design under solvency constraints
- Stochastic comparisons of largest claim amount from heterogeneous and dependent insurance portfolios
- The optimal retrospective reinsurance with the minimum risk-adjusted value
- A modeler's guide to extreme value software
- A multi-agent incomplete equilibrium model and its applications to reinsurance pricing and life-cycle investment
- Actuarial pricing with financial methods
- Optimal allocation of policy limits in layer reinsurance treaties
- Reinsurance games with two reinsurers: tree versus chain
- Bridging the gap between pricing and reserving with an occurrence and development model for non-life insurance claims
- Beyond the lognormal distribution with properties and applications
- Addressing ambiguity in randomized reinsurance stop-loss treaties using belief functions
- Pricing cumulative loss derivatives under additive models via Malliavin calculus
- Tail variance allocation, Shapley value, and the majorization problem
- Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer
- Risk quantization by magnitude and propensity
- Conditional tail moment and reinsurance premium estimation under random right censoring
- Robust insurance design with distortion risk measures
- Univariate and multivariate mixtures of exponential distributions, with applications in risk modeling
- Systemic infinitesimal over-dispersion on graphical dynamic models
- Informed censoring: the parametric combination of data and expert information
- New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
- A novel portfolio optimization method and its application to the hedging problem
- Matching tower information with piecewise Pareto
- A two-layer stochastic game approach to reinsurance contracting and competition
- Generic framework for a coherent integration of experience and exposure rating in reinsurance
- Optimal reinsurance design under distortion risk measures and reinsurer's default risk with partial recovery
- Asymptotically unbiased estimation of the extreme value index under random censoring
- Estimation of generalized tail distortion risk measures with applications in reinsurance
- Upper comonotonicity and risk aggregation under dependence uncertainty
- Worst-case distortion risk measures of transformed losses with uncertain distributions lying in Wasserstein balls
- Optimal reinsurance design under convex premium principles and distortion risk measures
- Infinite-horizon Fuk-Nagaev inequalities
- Mean-variance investment and reinsurance optimization with stochastic interest rate and volatility
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