Optimal insurance with counterparty and additive background risk

DOI10.1017/asb.2024.3zbMATH Open1542.91338MaRDI QIDQ6556607

Yan-Hong Chen

Publication date: 17 June 2024

Published in: ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

mean-variance optimizationbackground riskcounterparty riskoptimal insurance

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Actuarial mathematics (91G05)

Cites Work

• Optimal reinsurance under VaR and CTE risk measures
• Optimal insurance with divergent beliefs about insurer total default risk
• Optimal insurance design under background risk with dependence
• Robust and Pareto optimality of insurance contracts
• Optimal reinsurance in the presence of counterparty default risk
• Optimal insurance with background risk: an analysis of general dependence structures
• Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
• Optimal insurance under multiple sources of risk with positive dependence
• Optimal reinsurance with regulatory initial capital and default risk
• Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility
• OPTIMAL REINSURANCE FROM THE VIEWPOINTS OF BOTH AN INSURER AND A REINSURER UNDER THE CVAR RISK MEASURE AND VAJDA CONDITION
• OPTIMAL INCENTIVE-COMPATIBLE INSURANCE WITH BACKGROUND RISK
• Impact of Counterparty Risk on the Reinsurance Market
• MEAN–VARIANCE INSURANCE DESIGN WITH COUNTERPARTY RISK AND INCENTIVE COMPATIBILITY
• Pareto-optimal reinsurance with default risk and solvency regulation

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