Search Results - subject:"optimal reinsurance"

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

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 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 in the presence of counterparty default risk

Asimit, Alexandru V.; Badescu, Alexandru M.; Cheung, Ka Chun - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 690-697

Persistent link: https://www.econbiz.de/10010227904

Optimal reinsurance : a risk sharing approach

Balbás de la Corte, Alejandro; Balbas, Beatriz; … - In: Risks : open access journal 1 (2013) 2, pp. 45-56

This paper proposes risk sharing strategies, which allow insurers to cooperate and diversify non-systemic risk. We deal with both deviation measures and coherent risk measures and provide general mathematical methods applying to optimize them all. Numerical examples are given in order to...

Persistent link: https://www.econbiz.de/10010199029

Optimal reinsurance analysis from a crop insurer's perspective

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

Persistent link: https://www.econbiz.de/10010187473

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 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

Optimal risk transfer under quantile-based risk measurers

Asimit, Alexandru V.; Badescu, Alexandru M.; Verdonck, Tim - In: Insurance: Mathematics and Economics 53 (2013) 1, pp. 252-265

The classical problem of identifying the optimal risk transfer from one insurance company to multiple reinsurance companies is examined under some quantile-based risk measure criteria. We develop a new methodology via a two-stage optimisation procedure which not only allows us to recover some...

Persistent link: https://www.econbiz.de/10010681892

Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles

Cui, Wei; Yang, Jingping; Wu, Lan - In: Insurance: Mathematics and Economics 53 (2013) 1, pp. 74-85

Recently the optimal reinsurance strategy concerning the insurer’s risk attitude and the reinsurance premium principle … has been an interesting topic. This paper discusses the optimal reinsurance problem with the insurer’s risk measured by … Wang’s premium principle as its special cases. Explicit solutions of the optimal reinsurance strategy are obtained under …

Persistent link: https://www.econbiz.de/10010681893