Bowley reinsurance with asymmetric information on the insurer's risk preferences

DOI10.1080/03461238.2020.1867631zbMath1471.91448OpenAlexW3120363919MaRDI QIDQ4959370

Tim J. Boonen, Ka Chun Cheung, Yiying Zhang

Publication date: 13 September 2021

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

Full work available at URL: https://doi.org/10.1080/03461238.2020.1867631

zbMATH Keywords

asymmetric informationvalue-at-riskdistortion risk measuregeneral premium principleBowley reinsurance

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)

Related Items

Stackelberg differential game for reinsurance: mean-variance framework and random horizon ⋮ Portfolio risk analysis of excess of loss reinsurance ⋮ Bowley reinsurance with asymmetric information: a first-best solution ⋮ Bowley vs. Pareto optima in reinsurance contracting ⋮ Bowley solution under the reinsurer's default risk ⋮ OPTIMAL REINSURANCE DESIGN WITH DISTORTION RISK MEASURES AND ASYMMETRIC INFORMATION ⋮ Bowley solution of a mean-variance game in insurance

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