Optimal retention for a stop-loss reinsurance with incomplete information

DOI10.1016/j.insmatheco.2015.08.005zbMath1348.91149OpenAlexW1156022288MaRDI QIDQ896205

Xiang Hu, Hailiang Yang, Lianzeng Zhang

Publication date: 14 December 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/231320

zbMATH Keywords

stochastic ordersvalue-at-riskexpectation premium principleoptimal retentionstop-loss reinsurancedistribution-free approximation

Mathematics Subject Classification ID

Related Items (9)

Optimal reinsurance designs based on risk measures: a review ⋮ Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer ⋮ Optimal reinsurance with model uncertainty and Stackelberg game ⋮ De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information ⋮ Distributionally robust reinsurance with value-at-risk and conditional value-at-risk ⋮ Distributionally robust reinsurance with expectile ⋮ Empirical tail risk management with model-based annealing random search ⋮ Optimal stop-loss reinsurance with joint utility constraints ⋮ Reinsurance premium principles based on weighted loss functions

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