Empirical Approach for Optimal Reinsurance Design

DOI10.1080/10920277.2014.888008zbMath1414.91234OpenAlexW2064513280MaRDI QIDQ5379120

Chengguo Weng, Ken Seng Tan

Publication date: 28 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2014.888008

zbMATH Keywords

optimal reinsuranceempirical model

Mathematics Subject Classification ID

Related Items (17)

Optimal reinsurance designs based on risk measures: a review ⋮ Discussion on the paper ‘Optimal reinsurance design based on risk measures: a review’ by Yichun Chi and Jun Cai ⋮ Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk ⋮ Optimal reinsurance under risk and uncertainty on Orlicz hearts ⋮ Reinsurance of multiple risks with generic dependence structures ⋮ Risk transference constraints in optimal reinsurance ⋮ Optimal robust insurance with a finite uncertainty set ⋮ Optimal non-life reinsurance under Solvency II regime ⋮ Empirical tail risk management with model-based annealing random search ⋮ Pareto-optimal insurance contracts with premium budget and minimum charge constraints ⋮ Unnamed Item ⋮ Response to Hans U. Gerber on His Comments on Our Paper Entitled ”Empirical Approach for Optimal Reinsurance Design” ⋮ Heterogeneous Premiums for Homogeneous Risks? Asset Liability Management under Default Probability and Price-Demand Functions ⋮ Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework ⋮ Optimal reinsurance under risk and uncertainty ⋮ Optimal Risk Transfer: A Numerical Optimization Approach ⋮ Nonparametric Inference for VaR, CTE, and Expectile with High-Order Precision

Uses Software

• SeDuMi
• SDPT3
• CVX

Cites Work

• Unnamed Item
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• Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
• VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
• Optimal reinsurance under mean-variance premium principles

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