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

DOI10.1007/S12190-017-1096-1MaRDI QIDQ721540zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
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• Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer

Cites work

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

Cited in

(6)

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

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