Optimal quota-share and stop-loss reinsurance from the perspectives of insurer and reinsurer

DOI10.1007/S12190-017-1096-1zbMATH Open1403.91199OpenAlexW2598566933MaRDI QIDQ721540FDOQ721540

Authors: Hongli Liu, Ying Fang 

Publication date: 19 July 2018

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12190-017-1096-1

Recommendations

• VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
• Optimal reinsurance for both an insurer and a reinsurer under general premium principles
• Optimal reinsurance from the perspectives of both an insurer and a reinsurer
• Optimal combinational of quota-share and stop-loss reinsurance contracts under VaR and CTE with a constrained reinsurance premium
• Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer

zbMATH Keywords

value-at-riskoptimal reinsurancequota-share reinsurancestop-loss reinsurancereinsurance premium principle

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Optimal reinsurance with general risk measures
• Optimal reinsurance with general premium principles
• Optimal reinsurance under VaR and CVaR risk measures a simplified approach
• Optimal Reinsurance Revisited – A Geometric Approach
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Optimality of general reinsurance contracts under CTE risk measure
• Optimal reinsurance under VaR and CTE risk measures
• Optimal reinsurance under variance related premium principles
• VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
• Optimal limited stop-loss reinsurance under VaR, TVaR, and CTE risk measures
• Optimal reinsurance with concave ceded loss functions under VaR and CTE risk measures
• Optimal reinsurance revisited point of view of cedent and reinsurer
• Optimal reinsurance from the perspectives of both an insurer and a reinsurer
• Optimal combination of quota-share and stop-loss reinsurance treaties under the joint survival probability

Cited In (6)

• De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information
• Optimal reinsurance for both an insurer and a reinsurer under general premium principles
• Optimal combination of quota-share and stop-loss reinsurance treaties under the joint survival probability
• Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer
• Optimal reinsurance from the perspectives of both an insurer and a reinsurer
• VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance

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