Optimal reinsurance pricing, risk sharing and investment strategies in a joint reinsurer-insurer framework
Year of publication: |
2023
|
---|---|
Authors: | Yang, Peng ; Chen, Zhiping |
Published in: |
IMA journal of management mathematics. - Oxford : Univ. Press, ISSN 1471-6798, ZDB-ID 2045093-X. - Vol. 34.2023, 4, p. 661-694
|
Subject: | mean-variance criterion | claim risk sharing strategy | reinsurance price | investment | competition | relative performance | Theorie | Theory | Rückversicherung | Reinsurance | Portfolio-Management | Portfolio selection | Risiko | Risk | Risikomanagement | Risk management |
-
Wang, Ning, (2021)
-
On a bivariate risk process with a dividend barrier strategy
Liu, Luyin, (2015)
-
Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit
Lu, ZhiYi, (2016)
- More ...
-
Yang, Peng, (2021)
-
Robust optimal reinsurance-investment strategy with price jumps and correlated claims
Chen, Zhiping, (2020)
-
Yang, Peng, (2022)
- More ...