Optimal insurance in the presence of reinsurance
From MaRDI portal
Publication:4577192
DOI10.1080/03461238.2016.1184710zbMath1402.91221OpenAlexW2406641281MaRDI QIDQ4577192
Zuo Quan Xu, Ken Seng Tan, Sheng Chao Zhuang, Tim J. Boonen
Publication date: 17 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2016.1184710
Related Items
A hybrid model of optimal reinsurance: a discussion of ‘Optimal reinsurance designs based on risk measures: a review’ by Jun Cai and Yichun Chi ⋮ Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs ⋮ Risk transference constraints in optimal reinsurance ⋮ An insurer's optimal strategy towards a new independent business ⋮ Actuarial pricing with financial methods ⋮ Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion ⋮ Pareto-optimal insurance contracts with premium budget and minimum charge constraints ⋮ OPTIMAL REINSURANCE DESIGN WITH DISTORTION RISK MEASURES AND ASYMMETRIC INFORMATION ⋮ A unifying approach to constrained and unconstrained optimal reinsurance ⋮ Budget-constrained optimal reinsurance design under coherent risk measures
Cites Work
- Marginal indemnification function formulation for optimal reinsurance
- The optimal insurance under disappointment theories
- Optimal reinsurance under convex principles of premium calculation
- Optimal non-life reinsurance under Solvency II regime
- Optimal reinsurance with general risk measures
- Elementary proof for Sion's minimax theorem
- Optimal reinsurance and stop-loss order
- Axiomatic characterization of insurance prices
- Insurer's optimal reinsurance strategies
- Optimal risk sharing under distorted probabilities
- Optimal insurance under Wang's premium principle.
- Optimal reinsurance in the presence of counterparty default risk
- Optimal reinsurance under risk and uncertainty
- On optimal reinsurance policy with distortion risk measures and premiums
- Optimal reinsurance with general premium principles
- Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
- Coherent Measures of Risk
- Reinsurance Arrangements Minimizing the Risk-Adjusted Value of an Insurer's Liability
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS
- OPTIMAL REINSURANCE FROM THE PERSPECTIVES OF BOTH AN INSURER AND A REINSURER
- Characterizations of optimal reinsurance treaties: a cost-benefit approach
- CDF formulation for solving an optimal reinsurance problem
- Optimal reinsurance under general law-invariant risk measures
- The Dual Theory of Choice under Risk
- OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- Optimal reinsurance under mean-variance premium principles
