Optimal non-life reinsurance under Solvency II regime
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Cites work
- A new premium calculation principle based on Orlicz norms
- Axiomatic characterization of insurance prices
- Empirical Estimation of Risk Measures and Related Quantities
- Empirical approach for optimal reinsurance design
- Haezendonck-Goovaerts risk measures and Orlicz quantiles
- Impact of counterparty risk on the reinsurance market
- On the interplay between distortion, mean value and Haezendonck-Goovaerts risk measures
- Optimal Reinsurance Revisited – A Geometric Approach
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
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- Optimal reinsurance arrangements in the presence of two reinsurers
- Optimal reinsurance for variance related premium calculation principles
- Optimal reinsurance in relation to ordering of risks
- Optimal reinsurance in the presence of counterparty default risk
- Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
- Optimal reinsurance programs: an optimal combination of several reinsurance protections on a heterogeneous insurance portfolio.
- Optimal reinsurance under VaR and CTE risk measures
- Optimal reinsurance under VaR and CTE risk measures when ceded loss function is concave
- Optimal reinsurance under VaR and CVaR risk measures a simplified approach
- Optimal reinsurance under mean-variance premium principles
- Optimal reinsurance with expectile
- Optimal reinsurance with general premium principles
- Optimal risk sharing under distorted probabilities
- Reinsurance arrangements minimizing the risk-adjusted value of an insurer's liability
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- Some new classes of consistent risk measures
- The Dual Theory of Choice under Risk
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Cited in
(11)- Optimal reinsurance designs based on risk measures: a review
- A revisit of the optimal excess-of-loss contract
- Risk- and value-based management for non-life insurers under solvency constraints
- Optimal insurance in the presence of reinsurance
- Optimal robust insurance with a finite uncertainty set
- An optimal reinsurance simulation model for non-life insurance in the Solvency II framework
- Diversification effect in multivariate optimal risk transfer
- Solvency II, regulatory capital, and optimal reinsurance: how good are conditional value-at-risk and spectral risk measures?
- Some mathematical aspects of price optimisation
- Efficient risk allocation within a non-life insurance group under Solvency II regime
- An insurer's optimal strategy towards a new independent business
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