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The combined stop-loss and quota-share reinsurance : conditional tail expectation-based optimization from the joint perspective of insurer and reinsurer

Syuhada, Khreshna; Hakim, Arief; Sari, Suci - In: Risks : open access journal 9 (2021) 7, pp. 1-21

In the presence of reinsurance, an insurer may effectively reduce its (aggregated) loss by partially ceding such a loss … to a reinsurer. Stop-loss and quota-share reinsurance contracts are commonly agreed between these two parties. In this … are firstly investigated. Optimizing such a reinsurance design is then carried out from the joint perspective of the …

Persistent link: https://www.econbiz.de/10012598952

Optimal form of retention for securitized loans under moral hazard

Dionne, Georges; Malekan, Sara - In: Risks : open access journal 5 (2017) 4, pp. 1-13

We address the moral hazard problem of securitization using a principal-agent model where the investor is the principal and the lender is the agent. Our model considers structured asset-backed securitization with a credit enhancement (tranching) procedure. We assume that the originator can...

Persistent link: https://www.econbiz.de/10011783323

Evaluating risk measures and capital allocations based on multi-losses driven by a heavy-tailed background risk : the multivariate Pareto-II model

Asimit, Alexandru V.; Vernic, Raluca; Zitikis, Riċardas - In: Risks : open access journal 1 (2013) 1, pp. 14-33

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto distribution of the second kind, which is an attractive...

Persistent link: https://www.econbiz.de/10009754682

Effectively tackling reinsurance problems by using evolutionary and swarm intelligence algorithms

Salcedo-Sanz, Sancho; Carro-Calvo, Leo; Claramunt, Mercè; … - In: Risks : open access journal 2 (2014) 2, pp. 132-145

specifically, in reinsurance problems. In this area, the complexity of the models and assumptions considered in the definition of … the reinsurance rules and conditions produces hard black-box optimization problems (problems in which the objective … solved in order to obtain the optimal output of the reinsurance. The application of traditional optimization approaches is …

Persistent link: https://www.econbiz.de/10010338035

Joint asymptotic distributions of smallest and largest insurance claims

Albrecher, Hansjörg; Robert, Christian Yann; Teugels, … - In: Risks : open access journal 2 (2014) 3, pp. 289-314

Assume that claims in a portfolio of insurance contracts are described by independent and identically distributed random variables with regularly varying tails and occur according to a near mixed Poisson process. We provide a collection of results pertaining to the joint asymptotic Laplace...

Persistent link: https://www.econbiz.de/10010400269

Equalization reserves for reinsurance and non-life undertakings in Switzerland

Breuer, Anja; Staudt, Yves - In: Risks : open access journal 10 (2022) 3, pp. 1-41

Equalization reserves is an insurance liability with features of own capital. By law, Swiss reinsurance and non … reserves are set to zero. Swiss reinsurance and non-life undertakings define the upper limit and the corresponding transfer … reserves. For reinsurance undertakings, the GAM model captures the relationship better than the GLM one; for non …

Persistent link: https://www.econbiz.de/10013093189

Premium risk net of reinsurance : from short-term to medium-term assessment

Pallaria, Antonio; Savelli, Nino - In: Risks : open access journal 7 (2019) 3/72, pp. 1-29

of some different business mixes is analyzed. Furthermore, the risk-mitigation and profitability impact of reinsurance in … portfolios and reinsurance arrangements, pointing out the main reasons for these differences. …

Persistent link: https://www.econbiz.de/10012127608

Spatial risk measures and rate of spatial diversification

Koch, Erwan - In: Risks : open access journal 7 (2019) 2/52, pp. 1-26

and the banking/insurance/reinsurance industry. Koch (2017) introduced a notion of spatial risk measure and a …

Persistent link: https://www.econbiz.de/10012019126

Optimal surplus-dependent reinsurance under regime-switching in a Brownian risk model

Eisenberg, Julia; Fabrykowski, Lukas; Schmeck, Maren Diane - In: Risks : open access journal 9 (2021) 4, pp. 1-25

In this paper, we consider a company that wishes to determine the optimal reinsurance strategy minimising the total … a Brownian motion with drift, and the reinsurance price is modelled by a continuous-time Markov chain with two states …. The presence of regime-switching substantially complicates the optimal reinsurance problem, as the surplus …

Persistent link: https://www.econbiz.de/10012508723

Effect of stop-loss reinsurance on primary insurer solvency

Constantinescu, Corina; Dias, Alexandra; Li, Bo; Siska, … - In: Risks : open access journal 10 (2022) 10, pp. 1-15

Stop-loss reinsurance is a risk management tool that allows an insurance company to transfer part of their risk to a … reinsurance company. Ruin probabilities allow us to measure the effect of stop-loss reinsurance on the solvency of the primary … probability when no reinsurance is bought. We develop a finite-difference method for solving the (partial integro …

Persistent link: https://www.econbiz.de/10013556669