Pareto-optimal reinsurance with default risk and solvency regulation
From MaRDI portal
Publication:6163065
DOI10.1017/S0269964822000079zbMATH Open1518.91213MaRDI QIDQ6163065FDOQ6163065
Authors: Tim J. Boonen, Wenjun Jiang 
Publication date: 16 June 2023
Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)
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
- Modeling asset returns with alternative stable distributions*
- Optimal reinsurance under VaR and CVaR risk measures a simplified approach
- Advance-purchase discounts as a price discrimination device
- Stable distributions for asset returns
- Insurance with heterogeneous preferences
- Utility Functions
- Optimal insurance with belief heterogeneity and incentive compatibility
- Pareto efficient insurance contracts when the insurer's cost function is discontinuous
- Optimal insurance with divergent beliefs about insurer total default risk
- Insurance with multiple insurers: a game-theoretic approach
- Characterizations of optimal reinsurance treaties: a cost-benefit approach
- Pareto-optimal reinsurance arrangements under general model settings
- Optimal reinsurance from the perspectives of both an insurer and a reinsurer
- Arrow's theorem of the deductible with heterogeneous beliefs
- Pareto-optimal reinsurance policies in the presence of individual risk constraints
- On optimal reinsurance treaties in cooperative game under heterogeneous beliefs
- On the existence of a representative reinsurer under heterogeneous beliefs
- Optimality of excess-loss reinsurance under a mean-variance criterion
- On the optimality of a straight deductible under belief heterogeneity
- Optimal reinsurance-investment strategy for a dynamic contagion claim model
- Optimal reinsurance in the presence of counterparty default risk
- Impact of counterparty risk on the reinsurance market
- Risk sharing with multiple indemnity environments
- On Pareto-optimal reinsurance with constraints under distortion risk measures
- A Neyman-Pearson perspective on optimal reinsurance with constraints
- Trade-off analysis approach for interactive nonlinear multiobjective optimization
- Optimal reinsurance with regulatory initial capital and default risk
- Equilibrium recoveries in insurance markets with limited liability
- Risk-Sharing and Contingent Premia in the Presence of Systematic Risk: The Case Study of the UK COVID-19 Economic Losses
- Pareto-optimal insurance contracts with premium budget and minimum charge constraints
- Budget-constrained optimal reinsurance design under coherent risk measures
- Mean-variance insurance design with counterparty risk and incentive compatibility
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)
