Optimal risk-sharing across a network of insurance companies

DOI10.1016/J.INSMATHECO.2020.08.002zbMath1452.91269OpenAlexW3037317020MaRDI QIDQ2212158

Yanyan Li

Publication date: 19 November 2020

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

Full work available at URL: https://www.zora.uzh.ch/id/eprint/190721/1/SSRN-id3417016.pdf

zbMATH Keywords

reinsuranceconditional expected shortfallrisk transferrisk-based capitalreturn optimisation

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (2)

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Uses Software

• QRM

Cites Work

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• Optimal risk transfers in insurance groups
• Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Andersen model.
• Optimal risk sharing in insurance networks. An application to asset-liability management
• Risk sharing for capital requirements with multidimensional security markets
• Intragroup transfers, intragroup diversification and their risk assessment
• Coherent Measures of Risk
• Sharing Risk – An Economic Perspective
• Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
• Capital Allocation Survey with Commentary
• Optimal reinsurance under mean-variance premium principles

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