VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
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Publication:5029086
DOI10.1080/10920277.2009.10597569zbMath1483.91208OpenAlexW2002157095MaRDI QIDQ5029086
Yi Zhang, Ken Seng Tan, Chengguo Weng
Publication date: 11 February 2022
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2009.10597569
Related Items (26)
Optimal reinsurance designs based on risk measures: a review ⋮ Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk ⋮ VaR and CTE based optimal reinsurance from a reinsurer's perspective ⋮ Pareto-optimal reinsurance for both the insurer and the reinsurer with general premium principles ⋮ Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications ⋮ CDF formulation for solving an optimal reinsurance problem ⋮ Optimal reinsurance arrangements in the presence of two reinsurers ⋮ Optimal reinsurance with default risk: a reinsurer's perspective ⋮ Optimal retention for a stop-loss reinsurance with incomplete information ⋮ Optimal reinsurance with general premium principles ⋮ Unnamed Item ⋮ Empirical Approach for Optimal Reinsurance Design ⋮ Discussion on “Empirical Approach for Optimal Reinsurance Design,” by Ken Seng Tan and Chengguo Weng, Volume 18(2) ⋮ Optimal Reinsurance Design: A Mean-Variance Approach ⋮ Optimal Reinsurance Under the Risk-Adjusted Value of an Insurer’s Liability and an Economic Reinsurance Premium Principle ⋮ Dynamic hedging of conditional value-at-risk ⋮ Optimal reinsurance under variance related premium principles ⋮ Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles ⋮ Optimal reinsurance subject to Vajda condition ⋮ Optimal reinsurance-investment problem for an insurer and a reinsurer with jump-diffusion process ⋮ On randomized reinsurance contracts ⋮ Optimal quota-share and stop-loss reinsurance from the perspectives of insurer and reinsurer ⋮ Optimal reinsurance design for Pareto optimum: from the perspective of multiple reinsurers ⋮ Multivariate reinsurance designs for minimizing an insurer's capital requirement ⋮ Reinsurance contract design with adverse selection ⋮ Weighted Pricing Functionals With Applications to Insurance
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- Optimal retention levels, given the joint survival of cedent and reinsurer
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Weighted Pricing Functionals With Applications to Insurance
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