. This capital cost can be reduced by hedging longevity risk with longevity swaps, a form of reinsurance. We assess the costs …, rather than transferring this to the reinsurance or the capital markets. This aspect of the Solvency II capital requirements …

asymptotic tail behaviour of the reinsured amounts under the ECOMOR and LCR reinsurance treaties, respectively. Our novel results …

products, usually referred as Alternative Risk Transfer (ART) products include: (re)insurance contracts that bundle several …

by a Brownian motion with drift (the diffusion approximation model). The company can purchase reinsurance to lower its … risk and receive cash injections at discrete times to avoid ruin. Proportional reinsurance and excess-of-loss reinsurance … are considered. The objective is to find an optimal reinsurance and cash injection strategy that minimizes the total cost …

In this paper, we study the optimal proportional reinsurance and investment strategy for an insurer that only has … that the surplus of the insurer is governed by a jump diffusion process, and that reinsurance is used by the insurer to …

We model reinsurance as a stochastic cooperation game in a continuous-time framework. Employing stochastic control …

for the insurance industry. Against this background, the combination of reinsurance and capital market solutions … and idiosyncratic risks. We focus on the impact of regulation on risk transfer, by differentiating reinsurance and …