Stable solutions for optimal reinsurance problems involving risk measures
From MaRDI portal
Publication:635196
Recommendations
- Stability of solutions in optimal reinsurance problem
- On the optimal reinsurance problem
- Optimal reinsurance under general risk measures
- Optimal reinsurance with general risk measures
- A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints
- Optimal reinsurance under general law-invariant risk measures
- Optimal reinsurance under risk and uncertainty
- Optimal reinsurance under the Haezendonck risk measure
- Optimal reinsurance/investment problems for general insurance models
- Optimal reinsurance under expected shortfall risk measure
Cites work
- scientific article; zbMATH DE number 3281211 (Why is no real title available?)
- scientific article; zbMATH DE number 3048439 (Why is no real title available?)
- Coherent measures of risk
- Conditional value at risk and related linear programming models for portfolio optimization
- Consistent risk measures for portfolio vectors
- Dual Stochastic Dominance and Related Mean-Risk Models
- Efficient hedging with coherent risk measure
- Extending pricing rules with general risk functions
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- Generalized deviations in risk analysis
- On convex principles of premium calculation
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Optimal investments for risk- and ambiguity-averse preferences: a duality approach
- Optimal reinsurance
- Optimal reinsurance under VaR and CTE risk measures
- Optimal reinsurance under convex principles of premium calculation
- Optimal reinsurance under general risk measures
- Optimal reinsurance with general risk measures
- Optimization of a long-short portfolio under nonconvex transaction cost
- RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
- Risk-adjusted probability measures in portfolio optimization with coherent measures of risk
- Some new classes of consistent risk measures
- The optimal portfolio problem with coherent risk measure constraints.
- Weighted V\@R and its properties
Cited in
(19)- Optimal robust insurance with a finite uncertainty set
- A marginal indemnity function approach to optimal reinsurance under the Vajda condition
- Insurance with multiple insurers: a game-theoretic approach
- Omega ratio optimization with actuarial and financial applications
- scientific article; zbMATH DE number 6384513 (Why is no real title available?)
- Optimal reinsurance from the perspectives of both an insurer and a reinsurer
- Stability of solutions in optimal reinsurance problem
- Concave distortion risk minimizing reinsurance design under adverse selection
- Risk sharing with multiple indemnity environments
- Optimal reinsurance with general premium principles
- Pricing and risk management of interest rate swaps
- Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
- Bowley vs. Pareto optima in reinsurance contracting
- CDF formulation for solving an optimal reinsurance problem
- Robust and Pareto optimality of insurance contracts
- Robust insurance design with distortion risk measures
- Optimal reinsurance design under solvency constraints
- Robust reinsurance contracts with uncertainty about jump risk
- Optimal reinsurance under risk and uncertainty
This page was built for publication: Stable solutions for optimal reinsurance problems involving risk measures
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q635196)
