Impact of Counterparty Risk on the Reinsurance Market
From MaRDI portal
Publication:5168690
DOI10.1080/10920277.2012.10590634zbMath1291.91091OpenAlexW4372165058MaRDI QIDQ5168690
Carole Bernard, Michael Ludkovski
Publication date: 19 July 2014
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2012.10590634
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (15)
Revisiting the optimal insurance design under adverse selection: distortion risk measures and tail-risk overestimation ⋮ Optimal reinsurance with default risk: a reinsurer's perspective ⋮ The effect of risk constraints on the optimal insurance policy ⋮ Optimal non-life reinsurance under Solvency II regime ⋮ 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 ⋮ Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk ⋮ An Industrial Organization Theory of Risk Sharing ⋮ Optimal reinsurance in the presence of counterparty default risk ⋮ Sometimes more, sometimes less: prudence and the diversification of risky insurance coverage ⋮ Equilibrium recoveries in insurance markets with limited liability ⋮ Optimal Risk Transfer: A Numerical Optimization Approach ⋮ Optimal reinsurance with regulatory initial capital and default risk ⋮ MEAN–VARIANCE INSURANCE DESIGN WITH COUNTERPARTY RISK AND INCENTIVE COMPATIBILITY
Cites Work
- Unnamed Item
- Pareto efficient insurance contracts when the insurer's cost function is discontinuous
- Optimal insurance with divergent beliefs about insurer total default risk
- Optimal coverage for incompletely reliable insurance
- Optimal risk sharing with background risk
- Coherent Measures of Risk
- Multiplicative Background Risk
- Aversion pour le Risque Croissante avec une Richesse Initiale Aleatoire
- Pareto-optimal risk sharing with fixed costs per claim
This page was built for publication: Impact of Counterparty Risk on the Reinsurance Market
