A hybrid model of optimal reinsurance: a discussion of ‘Optimal reinsurance designs based on risk measures: a review’ by Jun Cai and Yichun Chi

DOI10.1080/24754269.2020.1765127OpenAlexW3024715492MaRDI QIDQ5880021

Sheng Chao Zhuang

Publication date: 7 March 2023

Published in: Statistical Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/24754269.2020.1765127

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Marginal indemnification function formulation for optimal reinsurance
• Insurance with multiple insurers: a game-theoretic approach
• Optimal insurance with belief heterogeneity and incentive compatibility
• Optimal reinsurance with general risk measures
• 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
• The role of a representative reinsurer in optimal reinsurance
• Optimal reinsurance with multiple reinsurers: competitive pricing and coalition stability
• Characterizations of optimal reinsurance treaties: a cost-benefit approach
• Optimal reinsurance arrangements in the presence of two reinsurers
• Optimal insurance in the presence of reinsurance
• Optimal insurance under rank‐dependent utility and incentive compatibility

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