Search Results - subject:"optimal reinsurance"

Optimal non-life reinsurance under Solvency II regime

Asimit, Alexandru V.; Chi, Yichun; Hu, Junlei - In: Insurance / Mathematics & economics 65 (2015), pp. 227-237

Persistent link: https://www.econbiz.de/10011428664

Optimal reinsurance and asset allocation under regime switching

Jang, Bong-Gyu; Kim, Kyeong Tae - In: Journal of banking & finance 56 (2015), pp. 37-47

Persistent link: https://www.econbiz.de/10011488574

Optimal reinsurance and investment problem for an insurer with counterparty risk

Zhu, Huiming; Deng, Chao; Yue, Shengjie; Deng, Yingchun - In: Insurance / Mathematics & economics 61 (2015), pp. 242-254

Persistent link: https://www.econbiz.de/10010515877

Optimal risk allocation for convex risk functionals in general risk domains

Kiesel, Swen; Rüschendorf, Ludger - In: Statistics & Risk Modeling 31 (2014) 3-4, pp. 335-365

Abstract In this paper, we formulate the classical optimal risk allocation problem for convex risk functionals defined on products of real Banach spaces as risk domains. This generality includes in particular the classical case of L p risks but also allows to describe the influence of dependence...

Persistent link: https://www.econbiz.de/10014621216

Optimal reinsurance with regulatory initial capital and default risk

Cai, Jun; Lemieux, Christiane; Liu, Fangda - In: Insurance / Mathematics & economics 57 (2014), pp. 13-24

Persistent link: https://www.econbiz.de/10010402747

Solvency II, regulatory capital, and optimal reinsurance : how good are conditional value-at-risk and spectral risk measures?

Brandtner, Mario; Kürsten, Wolfgang - In: Insurance / Mathematics & economics 59 (2014), pp. 156-167

Persistent link: https://www.econbiz.de/10010469143

Solvency II, regulatory capital, and optimal reinsurance: How good are Conditional Value-at-Risk and spectral risk measures?

Brandtner, Mario; Kürsten, Wolfgang - In: Insurance: Mathematics and Economics 59 (2014) C, pp. 156-167

We study the problem of optimal reinsurance as a means of risk management in the regulatory framework of Solvency II …

Persistent link: https://www.econbiz.de/10011116640

Optimal reinsurance analysis from a crop insurer's perspective

Porth, Lysa; Seng Tan, Ken; Weng, Chengguo - In: Agricultural Finance Review 73 (2013) 2, pp. 310-328

Purpose – The purpose of this paper is to analyze the optimal reinsurance contract structure from the crop insurer …

Persistent link: https://www.econbiz.de/10014667664

Optimal reinsurance under the Haezendonck risk measure

Zhu, Yunzhou; Zhang, Lixin; Zhang, Yi - In: Statistics & Probability Letters 83 (2013) 4, pp. 1111-1116

In this work, we study the optimal reinsurance under the Haezendonck risk measure by minimizing the total risk of the … insurer. Firstly, the optimal reinsurance model with the expectation premium principle is proposed. Then, on the basis of our … promotion of the optimal reinsurance under the CVaR risk measure since CVaR is only a specific case of the Haezendonck risk …

Persistent link: https://www.econbiz.de/10011040062

Optimal reinsurance subject to Vajda condition

Chi, Yichun; Weng, Chengguo - In: Insurance: Mathematics and Economics 53 (2013) 1, pp. 179-189

In this paper, we study optimal reinsurance design by minimizing the risk-adjusted value of an insurer’s liability … forms of the optimal reinsurance are obtained for the premium principles under an additional mild constraint. Finally, to … illustrate the applicability of our results, we derive the optimal reinsurance explicitly for both the expected value principle …

Persistent link: https://www.econbiz.de/10010681883