Reinsurer's optimal reinsurance strategy with upper and lower premium constraints under distortion risk measures

DOI10.1016/J.CAM.2016.10.017MaRDI QIDQ729856zbMATH OpenOpenAlexFDO

Authors Wenyuan Wang, Xingchun Peng

Publication date 22 December 2016

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

Full work available at URL https://doi.org/10.1016/j.cam.2016.10.017

zbMATH Keywords

distortion risk measureoptimal reinsurance

Mathematics Subject Classification ID

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

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Cites work

• An extension of Arrow's result on optimality of a stop loss contract
• Behavioral optimal insurance
• Insurer's optimal reinsurance strategies
• Mean-Variance Optimal Reinsurance Arrangements
• Optimal Reinsurance Revisited – A Geometric Approach
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Optimal insurance and generalized deductibles
• Optimal insurance in the presence of insurer's loss limit
• Optimal reinsurance arrangements in the presence of two reinsurers
• Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
• Optimal reinsurance subject to Vajda condition
• Optimal reinsurance under VaR and CTE risk measures
• Optimal reinsurance under convex principles of premium calculation
• Optimal reinsurance under general risk measures
• Optimal reinsurance under mean-variance premium principles
• Optimal reinsurance with general risk measures
• Optimal reinsurance with premium constraint under distortion risk measures
• Optimality of general reinsurance contracts under CTE risk measure
• Risk Measures and Comonotonicity: A Review
• The connection between distortion risk measures and ordered weighted averaging operators
• Unifying framework for optimal insurance

Cited in

(14)

• Optimal reinsurance with default risk: a reinsurer's perspective
• Dynamics analysis and numerical simulations of a delayed stochastic epidemic model subject to a general response function
• Optimal reinsurance with premium constraint under distortion risk measures
• Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs
• Optimal reinsurance under distortion risk measures and expected value premium principle for reinsurer
• Optimal reinsurance with probabilistic constraints under distortion risk measure
• Optimal reinsurance with general premium principles based on RVaR and WVaR
• A stochastic model of HIV infection incorporating combined therapy of HAART driven by Lévy jumps
• Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
• Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition
• On optimal reinsurance policy with distortion risk measures and premiums
• Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer
• Application of stochastic inequalities to global analysis of a nonlinear stochastic SIRS epidemic model with saturated treatment function
• Optimal insurance design under Vajda condition and exclusion clauses

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