VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
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Recommendations
- Optimal combinational of quota-share and stop-loss reinsurance contracts under VaR and CTE with a constrained reinsurance premium
- Optimal limited stop-loss reinsurance under VaR, TVaR, and CTE risk measures
- VaR and CTE based optimal reinsurance from a reinsurer's perspective
- Optimal quota-share and stop-loss reinsurance from the perspectives of insurer and reinsurer
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Optimal reinsurance under VaR and CTE risk measures
- Restricted optimal retention in stop-loss reinsurance under VaR and CTE risk measures
- VaR criteria for optimal limited change-loss and truncated change-loss reinsurance
- Optimal reinsurance under VaR and CTE risk measures when ceded loss function is concave
Cites work
- scientific article; zbMATH DE number 3844885 (Why is no real title available?)
- scientific article; zbMATH DE number 5299204 (Why is no real title available?)
- scientific article; zbMATH DE number 3671542 (Why is no real title available?)
- Insurer's optimal reinsurance strategies
- Optimal reinsurance in relation to ordering of risks
- Optimal reinsurance under convex principles of premium calculation
- Optimal reinsurance under general risk measures
- Optimal reinsurance under mean-variance premium principles
- Optimal reinsurance under VaR and CTE risk measures
- Optimal reinsurances
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Optimal retention levels, given the joint survival of cedent and reinsurer
- Some mathematical aspects of reinsurance
- Some Results on Optimal Reinsurance in Terms of the Adjustment Coefficient
- Weighted premium calculation principles
- Weighted Pricing Functionals With Applications to Insurance
Cited in
(48)- Optimal reinsurance-investment problem for an insurer and a reinsurer with jump-diffusion process
- On randomized reinsurance contracts
- Optimal reinsurance design for Pareto optimum: from the perspective of multiple reinsurers
- VaR and CTE based optimal reinsurance from a reinsurer's perspective
- Optimal reinsurance with general premium principles
- Dynamic hedging of conditional value-at-risk
- Optimal reinsurance under variance related premium principles
- Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
- Optimal reinsurance subject to Vajda condition
- Multivariate reinsurance designs for minimizing an insurer's capital requirement
- Optimal reinsurance with default risk: a reinsurer's perspective
- Portfolio risk analysis of excess of loss reinsurance
- Case study on the optimality of reinsurance contracts
- Optimal VaR-based risk management with reinsurance
- Optimal reinsurance revisited point of view of cedent and reinsurer
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications
- VaR criteria for optimal limited change-loss and truncated change-loss reinsurance
- CDF formulation for solving an optimal reinsurance problem
- Optimal reinsurance arrangements in the presence of two reinsurers
- Pricing reinsurance contracts
- Weighted Pricing Functionals With Applications to Insurance
- Distributionally robust goal-reaching optimization in the presence of background risk
- Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework
- Pareto-optimal reinsurance for both the insurer and the reinsurer with general premium principles
- Reinsurance contract design with adverse selection
- Restricted optimal retention in stop-loss reinsurance under VaR and CTE risk measures
- Empirical approach for optimal reinsurance design
- Discussion on “Empirical Approach for Optimal Reinsurance Design,” by Ken Seng Tan and Chengguo Weng, Volume 18(2)
- Optimal reinsurance design: a mean-variance approach
- Optimal reinsurance under the risk-adjusted value of an insurer's liability and an economic reinsurance premium principle
- Optimal combinational of quota-share and stop-loss reinsurance contracts under VaR and CTE with a constrained reinsurance premium
- Truncated Stop Loss as Optimal Reinsurance Agreement in One-period Models
- Optimal reinsurance designs based on risk measures: a review
- The optimal retrospective reinsurance with the minimum risk-adjusted value
- The Pareto-optimal stop-loss reinsurance
- Pareto-optimal reinsurance for both the insurer and the reinsurer under the risk-adjusted value and general premium principles
- A two-layer stochastic game approach to reinsurance contracting and competition
- The demand for insurance with ambiguous recovery rate
- Optimal reinsurance design under convex premium principles and distortion risk measures
- Equilibrium reinsurance and protection strategies for mean-variance insurers under mean-standard-deviation premium principle
- On optimal reinsurance in the presence of premium budget constraint and reinsurer's risk limit
- Optimal quota-share and stop-loss reinsurance from the perspectives of insurer and reinsurer
- Optimal reinsurance design under the moment-based premium principle: a representative reinsurer's perspective
- Optimal Reinsurance Design under Ambiguity and Value-at-Risk Preference with Wasserstein and L k Distance Metrics
- The optimal safety loading factor based on the principle of distorted risk measurement and distorted premium
- A dynamic framework for stop-loss and quota-share reinsurance: a comprehensive risk measurement approach
- Optimal retention for a stop-loss reinsurance with incomplete information
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