Pareto-optimal reinsurance with default risk and solvency regulation

Recommendations

Pareto-optimal reinsurance under individual risk constraints
Optimal reinsurance with default risk: a reinsurer's perspective
On Pareto-optimal reinsurance with constraints under distortion risk measures
Pareto-optimal reinsurance arrangements under general model settings
Optimal reinsurance with regulatory initial capital and default risk

Cites work

A Neyman-Pearson perspective on optimal reinsurance with constraints
Advance-purchase discounts as a price discrimination device
Arrow's theorem of the deductible with heterogeneous beliefs
Budget-constrained optimal reinsurance design under coherent risk measures
Characterizations of optimal reinsurance treaties: a cost-benefit approach
Equilibrium recoveries in insurance markets with limited liability
Impact of counterparty risk on the reinsurance market
Insurance with heterogeneous preferences
Insurance with multiple insurers: a game-theoretic approach
Mean-variance insurance design with counterparty risk and incentive compatibility
Modeling asset returns with alternative stable distributions^*
On Pareto-optimal reinsurance with constraints under distortion risk measures
On optimal reinsurance treaties in cooperative game under heterogeneous beliefs
On the existence of a representative reinsurer under heterogeneous beliefs
On the optimality of a straight deductible under belief heterogeneity
Optimal insurance with belief heterogeneity and incentive compatibility
Optimal insurance with divergent beliefs about insurer total default risk
Optimal reinsurance from the perspectives of both an insurer and a reinsurer
Optimal reinsurance in the presence of counterparty default risk
Optimal reinsurance under VaR and CVaR risk measures a simplified approach
Optimal reinsurance with regulatory initial capital and default risk
Optimal reinsurance-investment strategy for a dynamic contagion claim model
Optimality of excess-loss reinsurance under a mean-variance criterion
Pareto efficient insurance contracts when the insurer's cost function is discontinuous
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
Risk sharing with multiple indemnity environments
Risk-Sharing and Contingent Premia in the Presence of Systematic Risk: The Case Study of the UK COVID-19 Economic Losses
Stable distributions for asset returns
Trade-off analysis approach for interactive nonlinear multiobjective optimization
Utility Functions

Cited in

(9)

Optimal insurance with counterparty and additive background risk
Pareto-optimal reinsurance revisited: a two-stage optimisation procedure approach
Stochastic Pareto-optimal reinsurance policies
Risk- and value-based management for non-life insurers under solvency constraints
Pareto-optimal reinsurance under individual risk constraints
Optimal reinsurance with regulatory initial capital and default risk
An optimal reinsurance simulation model for non-life insurance in the Solvency II framework
Optimal reinsurance with default risk: a reinsurer's perspective
Pareto-optimal reinsurance for both the insurer and the reinsurer with general premium principles

This page was built for publication: Pareto-optimal reinsurance with default risk and solvency regulation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6163065)