Optimal risk transfers in insurance groups

DOI10.1007/s13385-013-0068-6zbMath1270.91028OpenAlexW3122195949MaRDI QIDQ362045

Andreas Tsanakas, Alexandru V. Asimit, Alexandru M. Badescu

Publication date: 20 August 2013

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/5983/1/AsimitBadescuTsanakas2013.pdf

zbMATH Keywords

value-at-riskoptimal reinsuranceexpected shortfallcost of capitalinsurance groups

Mathematics Subject Classification ID

Applications of mathematical programming (90C90)

Related Items

Optimal reinsurance designs based on risk measures: a review ⋮ On Pareto-optimal reinsurance with constraints under distortion risk measures ⋮ Extremes for coherent risk measures ⋮ Background risk models and stepwise portfolio construction ⋮ COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES ⋮ RISK REDISTRIBUTION GAMES WITH DUAL UTILITIES ⋮ Intragroup transfers, intragroup diversification and their risk assessment ⋮ Optimal insurance design in the presence of exclusion clauses ⋮ Optimal reinsurance with expectile ⋮ Optimal reinsurance with multiple reinsurers: competitive pricing and coalition stability ⋮ Robust and Pareto optimality of insurance contracts ⋮ Efficient risk allocation within a non-life insurance group under Solvency II regime ⋮ Optimal risk sharing in insurance networks. An application to asset-liability management ⋮ Optimal risk-sharing across a network of insurance companies ⋮ Unnamed Item ⋮ Optimal Reinsurance Under the Risk-Adjusted Value of an Insurer’s Liability and an Economic Reinsurance Premium Principle ⋮ Optimal reinsurance subject to Vajda condition ⋮ Convex ordering for insurance preferences ⋮ Optimal reinsurance in the presence of counterparty default risk ⋮ Optimal Risk Transfer: A Numerical Optimization Approach ⋮ Optimal risk allocation in reinsurance networks ⋮ Characterizing optimal allocations in quantile-based risk sharing ⋮ Regulatory arbitrage of risk measures

Cites Work

• Unnamed Item
• The optimal reinsurance strategy -- the individual claim case
• Optimal reinsurance under VaR and CTE risk measures
• Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
• Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
• Pareto efficient insurance contracts when the insurer's cost function is discontinuous
• Optimal reinsurance programs: an optimal combination of several reinsurance protections on a heterogeneous insurance portfolio.
• Optimal reinsurance in relation to ordering of risks
• Conditional value-at-risk bounds for compound Poisson risks and a normal approximation
• On minimizing the ruin probability by investment and reinsurance
• Optimal risk sharing under distorted probabilities
• Optimal insurance under Wang's premium principle.
• A note on generalized inverses
• Optimal Proportional Reinsurance Policies in a Dynamic Setting
• Coherent Measures of Risk
• Optimal Reinsurance under VaR and CVaR Risk Measures: a Simplified Approach
• OPTIMAL NUMERAIRES FOR RISK MEASURES
• Optimal Reinsurance for Variance Related Premium Calculation Principles
• Optimal Reinsurance Revisited – A Geometric Approach
• Optimal Dynamic XL Reinsurance
• Truncated Stop Loss as Optimal Reinsurance Agreement in One-period Models
• Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance
• Market-consistent actuarial valuation
• Optimal reinsurance under mean-variance premium principles