Optimal insurance with counterparty and additive background risk
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Publication:6556607
DOI10.1017/ASB.2024.3zbMATH Open1542.91338MaRDI QIDQ6556607FDOQ6556607
Authors: Yanhong Chen 
Publication date: 17 June 2024
Published in: ASTIN Bulletin (Search for Journal in Brave)
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Cites Work
- Optimal reinsurance under VaR and CTE risk measures
- Optimal insurance with divergent beliefs about insurer total default risk
- Optimal insurance under multiple sources of risk with positive dependence
- Robust and Pareto optimality of insurance contracts
- 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 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 reinsurance with regulatory initial capital and default risk
- Pareto-optimal reinsurance with default risk and solvency regulation
- Optimal reinsurance from the viewpoints of both an insurer and a reinsurer under the CVaR risk measure and Vajda condition
- Mean-variance insurance design with counterparty risk and incentive compatibility
- Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility
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