Optimal reinsurance with general premium principles based on RVaR and WVaR
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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
- Aggregation-robustness and model uncertainty of regulatory risk measures
- An extension of Arrow's result on optimality of a stop loss contract
- Budget-constrained optimal insurance with belief heterogeneity
- Characterizations of optimal reinsurance treaties: a cost-benefit approach
- Enhancing an insurer's expected value by reinsurance and external financing
- scientific article; zbMATH DE number 3671542 (Why is no real title available?)
- scientific article; zbMATH DE number 1249326 (Why is no real title available?)
- scientific article; zbMATH DE number 2188756 (Why is no real title available?)
- Insurer's optimal reinsurance strategies
- Marginal indemnification function formulation for optimal reinsurance
- On optimal reinsurance policy with distortion risk measures and premiums
- Optimal insurance in the presence of insurer's loss limit
- Optimal insurance to maximize RDEU under a distortion-deviation premium principle
- Optimal insurance under the insurer's risk constraint
- Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
- Optimal Reinsurance Revisited – A Geometric Approach
- Optimal reinsurance subject to Vajda condition
- Optimal reinsurance under distortion risk measures and expected value premium principle for reinsurer
- Optimal reinsurance under mean-variance premium principles
- Optimal reinsurance under VaR and CTE risk measures
- Optimal reinsurance under VaR and CVaR risk measures a simplified approach
- Optimal reinsurance under variance related premium principles
- Optimal reinsurance with general premium principles
- Optimal reinsurance with premium constraint under distortion risk measures
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Optimality of general reinsurance contracts under CTE risk measure
- Pareto-optimal insurance contracts with premium budget and minimum charge constraints
- Quantile-based risk sharing
- Reinsurer's optimal reinsurance strategy with upper and lower premium constraints under distortion risk measures
- Risk measures induced by efficient insurance contracts
- Risk-adjusted bowley reinsurance under distorted probabilities
- Robustness and sensitivity analysis of risk measurement procedures
- Scenario-based risk evaluation
- Stochastic finance. An introduction in discrete time.
- The concept of comonotonicity in actuarial science and finance: theory.
- Unifying framework for optimal insurance
- Weighted V\@R and its properties
Cited in
(5)- Optimal reinsurance under variance related premium principles
- Average value-at-risk minimizing reinsurance under Wang's premium principle with constraints
- Optimal dynamic reinsurance with dependent risks: variance premium principle
- Optimal design of default risk reinsurance under general premium principle
- The optimal safety loading factor based on the principle of distorted risk measurement and distorted premium
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