Enhancing insurer value through reinsurance optimization

DOI10.1016/j.insmatheco.2005.11.004zbMath1168.91415OpenAlexW2169134514MaRDI QIDQ2499829

Michael Sherris, Yuriy Krvavych

Publication date: 14 August 2006

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.11.004

zbMATH Keywords

optimal reinsurancerisk capitalchange-loss reinsurancecosts of financial distress

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of mathematical programming (90C90) Characterization and structure theory of statistical distributions (62E10)

Related Items (5)

LONGEVITY RISK MANAGEMENT AND SHAREHOLDER VALUE FOR A LIFE ANNUITY BUSINESS ⋮ Structured reinsurance deals with reference to relative market performance ⋮ Enhancing an insurer's expected value by reinsurance and external financing ⋮ Study on the model of an insurer's solvency ratio in Markov-modulated Brownian markets ⋮ Measuring profitability of life insurance products under Solvency II

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The valuation of a firm's investment opportunities: a reduced form credit risk perspective
• Optimal risk and dividend distribution control models for an insurance company

This page was built for publication: Enhancing insurer value through reinsurance optimization