Robust reinsurance contracts with risk constraint (Q5117680)

scientific article; zbMATH DE number 7239964

Language	Label	Description	Also known as
English	Robust reinsurance contracts with risk constraint	scientific article; zbMATH DE number 7239964

Statements

instance of

scholarly article

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title

Robust reinsurance contracts with risk constraint (English)

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Scandinavian Actuarial Journal

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publication date

26 August 2020

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zbMATH Keywords

optimal reinsurance

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principal-agent problem

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ambiguity

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risk constraint

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proportional reinsurance

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Karush-Kuhn-Tucker (KKT) conditions

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/03461238.2019.1683761

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cites work

The Nash bargaining solution vs. equilibrium in a reinsurance syndicate

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Capital requirements and optimal investment with solvency probability constraints

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Efficient risk allocation within a non-life insurance group under Solvency II regime

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Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint

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A class of non-zero-sum stochastic differential investment and reinsurance games

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Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets

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Equilibrium in a Reinsurance Market

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Q3323634

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Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures

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Optimal reinsurance under VaR and CTE risk measures

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OPTIMAL REINSURANCE FROM THE PERSPECTIVES OF BOTH AN INSURER AND A REINSURER

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ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER

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Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework

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Optimal investment-reinsurance policy for an insurance company with VaR constraint

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Dynamic risk-sharing game and reinsurance contract design

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Optimal Reinsurance Revisited – A Geometric Approach

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Risk-adjusted bowley reinsurance under distorted probabilities

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Reinsurance Arrangements Minimizing the Risk-Adjusted Value of an Insurer's Liability

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Optimal reinsurance with general premium principles

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Optimal Reinsurance Design: A Mean-Variance Approach

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Controlled Markov processes and viscosity solutions

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Aspects of risk theory

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Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model

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Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing

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Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks

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Optimal management of DC pension plan under loss aversion and value-at-risk constraints

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Reinsurance contract design when the insurer is ambiguity-averse

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Robust reinsurance contracts with uncertainty about jump risk

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Robust reinsurance contracts in continuous time

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On optimal reinsurance treaties in cooperative game under heterogeneous beliefs

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Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model

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Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk

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Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model

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Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps

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Optimal stochastic differential games with VaR constraints

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Optimal investment-reinsurance with dynamic risk constraint and regime switching

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A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints

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A reinsurance game between two insurance companies with nonlinear risk processes

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Robust Contracts in Continuous Time

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Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)

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Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process

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A class of nonzero-sum investment and reinsurance games subject to systematic risks

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Q3994923

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Stochastic cooperative games in insurance

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Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility

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Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility

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Robust non-zero-sum investment and reinsurance game with default risk

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Solvency II, or how to sweep the downside risk under the carpet

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Optimal portfolios with regime switching and value-at-risk constraint

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A stochastic differential reinsurance game

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Stochastic Pareto-optimal reinsurance policies

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Optimal investment and reinsurance of an insurer with model uncertainty

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Optimal reinsurance under dynamic VaR constraint

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Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling

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Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer

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Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security

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Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model

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Identifiers

zbMATH Open document ID

1447.91151

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DOI

10.1080/03461238.2019.1683761

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5117680