Multivariate Insurance Portfolio Risk Retention Using the Method of Multipliers

DOI10.1080/10920277.2022.2161578OpenAlexW4318262003MaRDI QIDQ6192618

Gee Y. Lee

Publication date: 13 February 2024

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

Full work available at URL: https://doi.org/10.1080/10920277.2022.2161578

zbMATH Keywords

multiple risksrisk retention

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Actuarial mathematics (91G05)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers
• Behavioral optimal insurance
• Optimal reinsurance under VaR and CTE risk measures
• Pareto-optimal reinsurance arrangements under general model settings
• On optimal reinsurance policy with distortion risk measures and premiums
• Optimal reinsurance with positively dependent risks
• Optimal risk transfer under quantile-based risk measurers
• Risk Modelling in General Insurance
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Optimal insurance and generalized deductibles
• OPTIMAL REINSURANCE FROM THE PERSPECTIVES OF BOTH AN INSURER AND A REINSURER
• Quantile-Based Risk Sharing
• TESTING FOR RANDOM EFFECTS IN COMPOUND RISK MODELS VIA BREGMAN DIVERGENCE
• Estimating Quantile Sensitivities
• Insurance Portfolio Risk Retention
• Copula Regression for Compound Distributions with Endogenous Covariates with Applications in Insurance Deductible Pricing

This page was built for publication: Multivariate Insurance Portfolio Risk Retention Using the Method of Multipliers