Optimal retention for a stop-loss reinsurance with incomplete information

DOI10.1016/J.INSMATHECO.2015.08.005MaRDI QIDQ896205zbMATH OpenOpenAlexFDO

Authors Xiang Hu, Hailiang Yang, Lianzeng Zhang

Publication date 14 December 2015

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

Full work available at URL http://hdl.handle.net/10722/231320

zbMATH Keywords

value-at-riskstochastic ordersexpectation premium principleoptimal retentionstop-loss reinsurancedistribution-free approximation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15)

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Cites work

• scientific article; zbMATH DE number 5657412 (Why is no real title available?)
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• Excess of Loss Reinsurance with Reinstatements Revisited
• Extremal moment methods and stochastic orders. Application in actuarial science
• How to estimate the value at risk under incomplete information
• Lorenz and Excess Wealth Orders, with Applications in Reinsurance Theory
• Optimal Reinsurance Revisited – A Geometric Approach
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Optimal dividends with incomplete information in the dual model
• Optimal reinsurance and stop-loss order
• Optimal reinsurance under VaR and CTE risk measures
• Optimal reinsurance under VaR and CVaR risk measures a simplified approach
• Optimal reinsurance with positively dependent risks
• Optimality of general reinsurance contracts under CTE risk measure
• VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance

Cited in

(11)

• Distributionally robust reinsurance with expectile
• Optimal reinsurance with model uncertainty and Stackelberg game
• Restricted optimal retention in stop-loss reinsurance under VaR risk measure
• Optimal stop-loss reinsurance with joint utility constraints
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
• Reinsurance premium principles based on weighted loss functions
• Empirical tail risk management with model-based annealing random search
• 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
• Optimal reinsurance designs based on risk measures: a review

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