Optimal insurance with counterparty and additive background risk
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Publication:6556607
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Cites work
- Impact of counterparty risk on the reinsurance market
- Mean-variance insurance design with counterparty risk and incentive compatibility
- Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility
- Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
- Optimal incentive-compatible insurance with background risk
- Optimal insurance design under background risk with dependence
- Optimal insurance under multiple sources of risk with positive dependence
- Optimal insurance with background risk: an analysis of general dependence structures
- Optimal insurance with divergent beliefs about insurer total default risk
- Optimal reinsurance from the viewpoints of both an insurer and a reinsurer under the CVaR risk measure and Vajda condition
- Optimal reinsurance in the presence of counterparty default risk
- Optimal reinsurance under VaR and CTE risk measures
- Optimal reinsurance with regulatory initial capital and default risk
- Pareto-optimal reinsurance with default risk and solvency regulation
- Robust and Pareto optimality of insurance contracts
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