Optimal insurance with mean-deviation measures

DOI10.1016/J.INSMATHECO.2024.05.005MaRDI QIDQ6607480zbMATH OpenFDO

Authors Tim J. Boonen, Xia Han

Publication date 18 September 2024

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

monotonicityrisk managementbudget constraintoptimal insurancedeviation measuresmean-deviation measuresstop-loss indemnities

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

• A Neyman-Pearson perspective on optimal reinsurance with constraints
• Bayes risk, elicitability, and the Expected Shortfall
• Bowley solution of a mean-variance game in insurance
• Characterization, robustness, and aggregation of signed Choquet integrals
• Characterizations of optimal reinsurance treaties: a cost-benefit approach
• Coherent measures of risk
• Convex risk functionals: representation and applications
• Distortion riskmetrics on general spaces
• Generalized deviations in risk analysis
• Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
• On consistency of stochastic dominance and mean-semideviation models
• On optimal reinsurance policy with distortion risk measures and premiums
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Optimal insurance design under mean-variance preference with narrow framing
• Optimal insurance to maximize RDEU under a distortion-deviation premium principle
• Optimal insurance under rank-dependent expected utility
• Optimal insurance under rank-dependent utility and incentive compatibility
• Optimal reinsurance designs based on risk measures: a review
• Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
• Optimal reinsurance under VaR and CTE risk measures
• Optimal reinsurance under variance related premium principles
• Optimal reinsurance with expectile
• Regret-based optimal insurance design
• S-shaped narrow framing, skewness and the demand for insurance
• Stochastic finance. An introduction in discrete time.

Cited in

(3)

• Short communication: optimal insurance to maximize exponential utility when premium is computed by a convex functional
• On the solution uniqueness in portfolio optimization and risk analysis
• On the General Deviation Measure and the Gini coefficient

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