Optimal insurance with counterparty and additive background risk
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Publication:6556607
DOI10.1017/asb.2024.3zbMATH Open1542.91338MaRDI QIDQ6556607
Publication date: 17 June 2024
Published in: ASTIN Bulletin (Search for Journal in Brave)
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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