Stop-loss reinsurance is a risk management tool that allows an insurance company to transfer part of their risk to a … to the 99.5% value-at-risk of its surplus. Specifically, we show that under a stop-loss contract, the ruin probability …

, urges stakeholders to promote innovative solutions involving risk transfers that account for the new risk exposures. These …

We consider an insurance company whose risk reserve is given by a Brownian motion with drift and which is able to … with other risk measures, exponential utility and the probability of ruin. Following recent research, we assume that …

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 illustrate how efficiently the non-systemic risk can be diversified and how …

We study the optimal insurance design problem. This is a risk sharing problem between an insured and an insurer. The … main novelty in this paper is that we study this optimization problem under a risk-adjusted premium calculation principle … for the insurance cover. This risk-adjusted premium calculation principle uses the cost-of-capital approach as it is …

We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of …-Kunita-Watanabe decomposition for a general insurance contract and specify risk-minimizing strategies in a Brownian financial market setting. The …

New risk-based solvency requirements for insurance companies across European markets have been introduced by Solvency …, will be by far more risk-sensitive than the required solvency margin provided by the current legislation. In this regard, a … Partial Internal Model for Premium Risk is developed here for a multi-line Non-Life insurer. We follow a classical approach …

Requirement (SCR). We examine how classical operational choices concerning the modelling of risk dependence impacts the SCR during … new risk, and the introduction of confidence weights given to the correlation coefficients. The use of genetic algorithms …

Solvency II Standard Formula provides a methodology to recognise the risk-mitigating impact of excess of loss … reinsurance treaties in premium risk modelling. We analyse the proposals of both Quantitative Impact Study 5 and Commission … premium risk volatility. In this way, capital requirement can be easily assessed. As numerical results show, this proposal …

-order risk aversion, with the Omega measure, and with a tendency to over-insure modest risks that has been been extensively …