Optimal risk management with reinsurance and its counterparty risk hedging

DOI10.1016/J.INSMATHECO.2023.09.003OpenAlexW4386865443MaRDI QIDQ6152697FDOQ6152697

Authors: Yichun Chi, Tao Hu, Yuxia Huang 

Publication date: 13 February 2024

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2023.09.003

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zbMATH Keywords

risk managementhedgingcounterparty riskMossin's theoremno-sabotage condition

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

• Optimal reinsurance in relation to ordering of risks
• Optimal reinsurance with general risk measures
• Marginal indemnification function formulation for optimal reinsurance
• Optimal reinsurance under VaR and CVaR risk measures a simplified approach
• Optimal Reinsurance Revisited – A Geometric Approach
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Optimal reinsurance under mean-variance premium principles
• Optimal reinsurance under VaR and CTE risk measures
• Insurer's optimal reinsurance strategies
• Pareto efficient insurance contracts when the insurer's cost function is discontinuous
• Characterizations of optimal reinsurance treaties: a cost-benefit approach
• On the optimality of a straight deductible under belief heterogeneity
• Optimal insurance under rank-dependent utility and incentive compatibility
• Optimal reinsurance in the presence of counterparty default risk
• Impact of counterparty risk on the reinsurance market
• Optimal insurance with background risk: an analysis of general dependence structures
• Optimal reinsurance with regulatory initial capital and default risk
• A marginal indemnity function approach to optimal reinsurance under the Vajda condition

Cited In (1)

• Optimal reinsurance design under distortion risk measures and reinsurer's default risk with partial recovery

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