Pareto-optimal reinsurance for both the insurer and the reinsurer with general premium principles

DOI10.1080/03610926.2018.1528364MaRDI QIDQ5077971OpenAlexWikidataFDO

Authors

Publication date 20 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2018.1528364

zbMATH Keywords

Pareto optimalityvalue-at-riskoptimal reinsuranceDutch premium principleWang's premium principle

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• Optimal Reinsurance Revisited – A Geometric Approach
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Optimal combination of quota-share and stop-loss reinsurance treaties under the joint survival probability
• Optimal insurance under Wang's premium principle.
• Optimal reinsurance from the perspectives of both an insurer and a reinsurer
• Optimal reinsurance revisited point of view of cedent and reinsurer
• Optimal reinsurance under VaR and CTE risk measures
• Optimal reinsurance under variance related premium principles
• Optimal reinsurance with concave ceded loss functions under VaR and CTE risk measures
• Optimal reinsurance with general premium principles
• Optimality of general reinsurance contracts under CTE risk measure
• Stochastic orders
• The concept of comonotonicity in actuarial science and finance: theory.
• VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance

Cited in

(5)

• Pareto-optimal reinsurance revisited: a two-stage optimisation procedure approach
• Optimal reinsurance for both an insurer and a reinsurer under general premium principles
• Stochastic Pareto-optimal reinsurance policies
• Pareto-optimal reinsurance for both the insurer and the reinsurer under the risk-adjusted value and general premium principles
• Empirical likelihood for varying coefficient partially nonlinear model with missing responses

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