Optimal reinsurance under VaR and CTE risk measures

DOI10.1016/J.INSMATHECO.2008.05.011zbMATH Open1140.91417OpenAlexW2067009897MaRDI QIDQ938052FDOQ938052

Authors: Jun Cai, Ken Seng Tan, Chengguo Weng, Yi Zhang

Publication date: 18 August 2008

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.05.011

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value-at-risk (VaR)expectation premium principle quota-share reinsurance conditional tail expectation (CTE)stop-loss reinsurance ceded loss change-loss reinsurance increasing convex function retained loss

Mathematics Subject Classification ID

Cites Work

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Coherent measures of risk
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Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
Optimal reinsurance under mean-variance premium principles
Optimal reinsurance under general risk measures
Optimal reinsurance under convex principles of premium calculation
An extension of Arrow's result on optimality of a stop loss contract
Mean-Variance Optimal Reinsurance Arrangements

Cited In (only showing first 100 items - show all)

Optimal insurance with counterparty and additive background risk
Pareto-optimal insurance contracts with premium budget and minimum charge constraints
Risk measures induced by efficient insurance contracts
Optimal reinsurance designs based on risk measures: a review
Stochastic comparisons of largest-order statistics for proportional reversed hazard rate model and applications
Multi-constrained optimal reinsurance model from the duality perspectives
Optimal risk management with reinsurance and its counterparty risk hedging
Pareto-optimal reinsurance revisited: a two-stage optimisation procedure approach
Optimal reinsurance for both an insurer and a reinsurer under general premium principles
Revisit optimal reinsurance under a new distortion risk measure
Insurance choice under third degree stochastic dominance
The average risk sharing problem under risk measure and expected utility theory
Robust reinsurance contracts with risk constraint
Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
The design of an optimal retrospective rating plan
The Pareto-optimal stop-loss reinsurance
Optimal reinsurance design: a mean-variance approach
The optimal retrospective reinsurance with the minimum risk-adjusted value
Optimal proportional reinsurance under two criteria: maximizing the expected utility and minimizing the value at risk
On randomized reinsurance contracts
Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure
Discussion on the paper ‘Optimal reinsurance design based on risk measures: a review’ by Yichun Chi and Jun Cai
Optimal insurance with mean-deviation measures
Optimal reinsurance under the risk-adjusted value of an insurer's liability and an economic reinsurance premium principle
Optimal insurance design with a bonus
How much is optimal reinsurance degraded by error?
Concave distortion risk minimizing reinsurance design under adverse selection
A reinsurance game between two insurance companies with nonlinear risk processes
Optimal investment-reinsurance with dynamic risk constraint and regime switching
Optimal reinsurance from the viewpoints of both an insurer and a reinsurer under the CVaR risk measure and Vajda condition
VaR and CTE based optimal reinsurance from a reinsurer's perspective
Multivariate Insurance Portfolio Risk Retention Using the Method of Multipliers
The optimal reinsurance strategy under conditional tail expectation (CTE) and Wang's premium principle
Optimal reinsurance with regulatory initial capital and default risk
On the uncertainty of VaR of individual risk
An optimal reinsurance simulation model for non-life insurance in the Solvency II framework
A marginal indemnity function approach to optimal reinsurance under the Vajda condition
Budget-constrained optimal reinsurance design under coherent risk measures
Optimal reinsurance design for Pareto optimum: from the perspective of multiple reinsurers
Optimal insurance design in the presence of exclusion clauses
Optimal reinsurance with default risk: a reinsurer's perspective
Portfolio risk analysis of excess of loss reinsurance
Dynamic reinsurance in discrete time minimizing the insurer's cost of capital
Optimal allocation of policy limits in layer reinsurance treaties
Enhancing an insurer's expected value by reinsurance and external financing
The effect of risk constraints on the optimal insurance policy
Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
Designing sound deposit insurances
Pareto-optimal reinsurance for both the insurer and the reinsurer with general premium principles
Multiple per-claim reinsurance based on maximizing the Lundberg exponent
Optimal reinsurance with general premium principles based on RVaR and WVaR
Solvency II, regulatory capital, and optimal reinsurance: how good are conditional value-at-risk and spectral risk measures?
Optimal reinsurance with model uncertainty and Stackelberg game
Optimal reinsurance with probabilistic constraints under distortion risk measure
Beyond expected utility: subjective risk aversion and optimal portfolio choice under convex shortfall risk measures
Optimal reinsurance design under distortion risk measures and reinsurer's default risk with partial recovery
Empirical tail risk management with model-based annealing random search
Nonlinearly transformed risk measures: properties and application to optimal reinsurance
An insurer's optimal strategy towards a new independent business
Stackelberg equilibria with multiple policyholders
Pareto-optimal reinsurance for both the insurer and the reinsurer under the risk-adjusted value and general premium principles
Optimal reinsurance policy under a new distortion risk measure
Reinsurance contract design with adverse selection
Solution of Hamilton-Jacobi-Bellman equation in optimal reinsurance strategy under dynamic VaR constraint
Orthogonal polynomial expansions to evaluate stop-loss premiums
Optimal reinsurance under general law-invariant risk measures
Optimal dynamic reinsurance with dependent risks: variance premium principle
Optimal reinsurance arrangements in the presence of two reinsurers
Stable solutions for optimal reinsurance problems involving risk measures
Constant elasticity of variance model for proportional reinsurance and investment strategies
Risk-adjusted bowley reinsurance under distorted probabilities
Optimal combinational of quota-share and stop-loss reinsurance contracts under VaR and CTE with a constrained reinsurance premium
On Pareto-optimal reinsurance with constraints under distortion risk measures
Empirical approach for optimal reinsurance design
Are quantile risk measures suitable for risk-transfer decisions?
VaR-based optimal partial hedging
Marginal indemnification function formulation for optimal reinsurance
Optimal VaR-based risk management with reinsurance
A Neyman-Pearson perspective on optimal reinsurance with constraints
Behavioral optimal insurance
Optimality of general reinsurance contracts under CTE risk measure
Optimal quota-share and stop-loss reinsurance from the perspectives of insurer and reinsurer
Optimal risk transfer: a numerical optimization approach
Multivariate reinsurance designs for minimizing an insurer's capital requirement
Optimal reinsurance under distortion risk measures and expected value premium principle for reinsurer
A pair of optimal reinsurance-investment strategies in the two-sided exit framework
Reinsurer's optimal reinsurance strategy with upper and lower premium constraints under distortion risk measures
Optimal insurance strategy in the individual risk model under a stochastic constraint on the value of the final capital
Natural risk measures
A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints
Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process
Optimal limited stop-loss reinsurance under VaR, TVaR, and CTE risk measures
Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit
Optimal robust insurance with a finite uncertainty set
Optimal retention for a stop-loss reinsurance with incomplete information
Optimal non-life reinsurance under Solvency II regime
Ruin probability in a correlated aggregate claims model with common Poisson shocks: application to reinsurance
Optimal risk transfers in insurance groups
Optimal reinsurance with concave ceded loss functions under VaR and CTE risk measures
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