Optimal reinsurance from the viewpoints of both an insurer and a reinsurer under the CVaR risk measure and Vajda condition
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Cites work
- A Neyman-Pearson perspective on optimal reinsurance with constraints
- A unifying approach to constrained and unconstrained optimal reinsurance
- A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints
- Extensions of Ohlin's lemma with applications to optimal reinsurance structures
- scientific article; zbMATH DE number 3159879 (Why is no real title available?)
- On optimal reinsurance policy with distortion risk measures and premiums
- On Pareto-optimal reinsurance with constraints under distortion 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 from the perspectives of both insurers and reinsurers under the VaR risk measure and Vajda condition
- Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
- Optimal reinsurance revisited point of view of cedent and reinsurer
- Optimal reinsurance subject to Vajda condition
- Optimal reinsurance under general law-invariant risk measures
- Optimal reinsurance under VaR and CTE risk measures
- Optimal reinsurance with expectile
- Optimal reinsurance with premium constraint under distortion risk measures
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Pareto-optimal insurance contracts with premium budget and minimum charge constraints
- Pareto-optimal reinsurance arrangements under general model settings
- Pareto-optimal reinsurance policies in the presence of individual risk constraints
- Reinsurance arrangements minimizing the risk-adjusted value of an insurer's liability
- Some Results on Optimal Reinsurance in Terms of the Adjustment Coefficient
- Stochastic finance. An introduction in discrete time
- The concept of comonotonicity in actuarial science and finance: theory.
- Truncated Stop Loss as Optimal Reinsurance Agreement in One-period Models
Cited in
(12)- Optimal reinsurance for both an insurer and a reinsurer under general premium principles
- A marginal indemnity function approach to optimal reinsurance under the Vajda condition
- Optimal reinsurance subject to Vajda condition
- Risk measures induced by efficient insurance contracts
- Optimal reinsurance under VaR and CVaR risk measures a simplified approach
- Non-proportional reinsurance models. Preference measurement in the insurance business via CVAR
- Optimal reinsurance from the perspectives of both an insurer and a reinsurer
- Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework
- Optimal reinsurance under the risk-adjusted value of an insurer's liability and an economic reinsurance premium principle
- Optimal insurance with counterparty and additive background risk
- Optimal insurance-reinsurance design from the perspectives of both insurers and reinsurers
- An integrated framework for indicator-based decision analysis in proportional-XL reinsurance
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