Optimal non-life reinsurance under Solvency II regime

DOI10.1016/J.INSMATHECO.2015.09.006zbMATH Open1348.91127OpenAlexW3121710228MaRDI QIDQ896767FDOQ896767

Authors: Alexandru V. Asimit, Yichun Chi, Junlei Hu 

Publication date: 14 December 2015

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

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/13145/1/Asimit_Chi_Hu_2015_IME_final.pdf

Recommendations

• Optimal reinsurance arrangements in the presence of two reinsurers
• Optimal reinsurance under general risk measures
• Optimal reinsurance under the general mixture risk measures
• Optimal reinsurance under variance related premium principles
• Optimal reinsurance with general premium principles

zbMATH Keywords

optimal reinsuranceSolvency IIrisk margingeneral premium principletechnical provision

Mathematics Subject Classification ID

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

Cites Work

• Empirical Estimation of Risk Measures and Related Quantities
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• The Dual Theory of Choice under Risk
• Axiomatic characterization of insurance prices
• Risk-adjusted credibility premiums using distorted probabilities
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• Optimal reinsurance with general premium principles
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• Optimal reinsurance for variance related premium calculation principles
• Optimal Reinsurance Revisited – A Geometric Approach
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Optimal reinsurance arrangements in the presence of two reinsurers
• Optimal reinsurance under mean-variance premium principles
• Optimal reinsurance under VaR and CTE risk measures
• Reinsurance arrangements minimizing the risk-adjusted value of an insurer's liability
• Some new classes of consistent risk measures
• A new premium calculation principle based on Orlicz norms
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• Haezendonck-Goovaerts risk measures and Orlicz quantiles
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• Optimal risk sharing under distorted probabilities
• Truncated Stop Loss as Optimal Reinsurance Agreement in One-period Models
• The optimal reinsurance strategy -- the individual claim case
• Empirical Approach for Optimal Reinsurance Design
• Optimal reinsurance in the presence of counterparty default risk
• Optimal Reinsurance Under VaR and CTE Risk Measures When Ceded Loss Function is Concave
• Optimal reinsurance with expectile
• Impact of Counterparty Risk on the Reinsurance Market

Cited In (5)

• Optimal reinsurance designs based on risk measures: a review
• Optimal insurance in the presence of reinsurance
• Optimal robust insurance with a finite uncertainty set
• Some mathematical aspects of price optimisation
• Efficient risk allocation within a non-life insurance group under Solvency II regime

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