Optimal reinsurance in the presence of counterparty default risk

DOI10.1016/j.insmatheco.2013.09.012zbMath1290.91074OpenAlexW3122641509MaRDI QIDQ2015635

Alexandru V. Asimit, Ka Chun Cheung, Alexandru M. Badescu

Publication date: 23 June 2014

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

Full work available at URL: http://openaccess.city.ac.uk/id/eprint/13124/1/Opt%20Reins%20CDR%20Asimit%20Badescu%20Cheung%202013%20IME%20final.pdf

zbMATH Keywords

value-at-riskoptimal reinsurancecounterparty default riskpremium principledistorted risk measureexpected policyholder deficit

Mathematics Subject Classification ID

Related Items (18)

Optimal reinsurance designs based on risk measures: a review ⋮ OPTIMAL REINSURANCE FROM THE PERSPECTIVES OF BOTH AN INSURER AND A REINSURER ⋮ Optimal reinsurance with expectile ⋮ CDF formulation for solving an optimal reinsurance problem ⋮ Optimal insurance in the presence of reinsurance ⋮ Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs ⋮ Optimal reinsurance with default risk: a reinsurer's perspective ⋮ Some mathematical aspects of price optimisation ⋮ Optimal dynamic reinsurance with worst-case default of the reinsurer ⋮ Optimal non-life reinsurance under Solvency II regime ⋮ Multi-constrained optimal reinsurance model from the duality perspectives ⋮ Optimal risk management with reinsurance and its counterparty risk hedging ⋮ Pareto-optimal reinsurance with default risk and solvency regulation ⋮ Reinsurance games with two reinsurers: tree versus chain ⋮ Bowley solution under the reinsurer's default risk ⋮ Equilibrium recoveries in insurance markets with limited liability ⋮ Optimal Risk Transfer: A Numerical Optimization Approach ⋮ Optimal reinsurance with regulatory initial capital and default risk

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