Impact of counterparty risk on the reinsurance market
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Recommendations
- Optimal reinsurance in the presence of counterparty default risk
- Optimal reinsurance and investment problem for an insurer with counterparty risk
- Value adjustments and dynamic hedging of reinsurance counterparty risk
- Optimal reinsurance with regulatory initial capital and default risk
- Optimal reinsurance with default risk: a reinsurer's perspective
Cites work
- Aversion pour le Risque Croissante avec une Richesse Initiale Aleatoire
- Coherent measures of risk
- scientific article; zbMATH DE number 3342731 (Why is no real title available?)
- Multiplicative Background Risk
- Optimal coverage for incompletely reliable insurance
- Optimal insurance with divergent beliefs about insurer total default risk
- Optimal risk sharing with background risk
- Pareto efficient insurance contracts when the insurer's cost function is discontinuous
- Pareto-optimal risk sharing with fixed costs per claim
Cited in
(21)- Optimal reinsurance in the presence of counterparty default risk
- Sometimes more, sometimes less: prudence and the diversification of risky insurance coverage
- Revisiting the optimal insurance design under adverse selection: distortion risk measures and tail-risk overestimation
- Equilibrium recoveries in insurance markets with limited liability
- Optimal reinsurance with regulatory initial capital and default risk
- Optimal reinsurance with default risk: a reinsurer's perspective
- The effect of risk constraints on the optimal insurance policy
- Counterparty Risk in Financial Contracts: Should the Insured Worry about the Insurer?*
- Optimal risk transfer: a numerical optimization approach
- Value adjustments and dynamic hedging of reinsurance counterparty risk
- An Industrial Organization Theory of Risk Sharing
- Mean-variance insurance design with counterparty risk and incentive compatibility
- Optimal risk management with reinsurance and its counterparty risk hedging
- Pareto-optimal reinsurance with default risk and solvency regulation
- Bowley solution under the reinsurer's default risk
- Optimal insurance with counterparty and additive background risk
- Optimal reinsurance design under distortion risk measures and reinsurer's default risk with partial recovery
- The demand for insurance with ambiguous recovery rate
- A revisit of the optimal excess-of-loss contract
- Optimal reinsurance under endogenous default and background risk
- Optimal non-life reinsurance under Solvency II regime
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