Robust reinsurance contracts with risk constraint
From MaRDI portal
Publication:5117680
DOI10.1080/03461238.2019.1683761zbMath1447.91151OpenAlexW2982609431WikidataQ126861939 ScholiaQ126861939MaRDI QIDQ5117680
Publication date: 26 August 2020
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2019.1683761
ambiguityoptimal reinsuranceprincipal-agent problemproportional reinsurancerisk constraintKarush-Kuhn-Tucker (KKT) conditions
Actuarial mathematics (91G05) Contract theory (moral hazard, adverse selection) (91B41) Principal-agent models (91B43)
Related Items (12)
Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate ⋮ Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer ⋮ Robust reinsurance contract with learning and ambiguity aversion ⋮ Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints ⋮ Stackelberg differential game for insurance under model ambiguity ⋮ Stackelberg differential game for reinsurance: mean-variance framework and random horizon ⋮ A Stackelberg reinsurance-investment game under α -maxmin mean-variance criterion and stochastic volatility ⋮ Reinsurance-investment game between two mean-variance insurers under model uncertainty ⋮ Reinsurance contract design with heterogeneous beliefs and learning ⋮ Some optimisation problems in insurance with a terminal distribution constraint ⋮ Optimal risk exposure and dividend payout policies under model uncertainty ⋮ Household consumption-investment-insurance decisions with uncertain income and market ambiguity
Cites Work
- Unnamed Item
- Unnamed Item
- Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
- Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model
- Optimal management of DC pension plan under loss aversion and value-at-risk constraints
- Optimal stochastic differential games with VaR constraints
- A class of non-zero-sum stochastic differential investment and reinsurance games
- Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
- Optimal investment and reinsurance of an insurer with model uncertainty
- Optimal investment-reinsurance policy for an insurance company with VaR constraint
- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
- Efficient risk allocation within a non-life insurance group under Solvency II regime
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Optimal reinsurance under VaR and CTE risk measures
- Optimal portfolios with regime switching and value-at-risk constraint
- Aspects of risk theory
- Stochastic cooperative games in insurance
- Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
- Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer
- Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
- Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
- On optimal reinsurance treaties in cooperative game under heterogeneous beliefs
- Robust reinsurance contracts with uncertainty about jump risk
- Robust non-zero-sum investment and reinsurance game with default risk
- Solvency II, or how to sweep the downside risk under the carpet
- Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model
- Stochastic Pareto-optimal reinsurance policies
- Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model
- Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework
- A reinsurance game between two insurance companies with nonlinear risk processes
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Optimal reinsurance under dynamic VaR constraint
- Risk-adjusted bowley reinsurance under distorted probabilities
- Dynamic risk-sharing game and reinsurance contract design
- Reinsurance contract design when the insurer is ambiguity-averse
- Optimal reinsurance with general premium principles
- Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
- Controlled Markov processes and viscosity solutions
- Reinsurance Arrangements Minimizing the Risk-Adjusted Value of an Insurer's Liability
- Optimal investment-reinsurance with dynamic risk constraint and regime switching
- Optimal Reinsurance Revisited – A Geometric Approach
- A stochastic differential reinsurance game
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- The Theory of Moral Hazard and Unobservable Behaviour: Part I
- ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER
- OPTIMAL REINSURANCE FROM THE PERSPECTIVES OF BOTH AN INSURER AND A REINSURER
- A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints
- A class of nonzero-sum investment and reinsurance games subject to systematic risks
- Robust reinsurance contracts in continuous time
- Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
- Robust Contracts in Continuous Time
- Optimal Reinsurance Design: A Mean-Variance Approach
- Capital requirements and optimal investment with solvency probability constraints
- Equilibrium in a Reinsurance Market
- The Nash bargaining solution vs. equilibrium in a reinsurance syndicate
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
This page was built for publication: Robust reinsurance contracts with risk constraint