business lines; there is default clustering in the GI industry; different reinsurance levels also affect the credit risk of …

business lines; there is default clustering in the GI industry; different reinsurance levels also affect the credit risk of …

. This allows us to understand the joint effect of insolvency risk and background risk on optimal contracts. The results may … shed light on the aggregate risk retention schedules observed in catastrophe reinsurance markets, and can assist in the … design of (re)insurance programs and guarantee funds …

techniques commonly used by large organizations and rating agencies for predicting insolvency. However, it should be borne in …

Since 2008, catastrophic losses and financial turmoil have deeply shaken the insurance and reinsurance industries … players, and have increased attention on the subject of reinsurance counterparty risk. This corresponds to the exposure of an … considered as largely auto-regulated by the insurance market. The impact of reinsurance credit on an insurers' balance sheet …

This paper studies an optimal reinsurance problem of Pareto-optimality when the contract is subject to default of the …

We investigate the impact of counterparty risk on contract design in the reinsurance market. We study a multiplicative …

Association of Insurance Commissioners (NAIC) during the period 1993-2012. We find that the amount of reinsurance, insurer …

risky investment, underwriting, reinsurance, and hedging; and (ii) the allocation of risk across all of these opportunities …

In this paper, we consider the ruin probability minimization of an insurance company that buys proportional reinsurance … proportional reinsurance and investment strategy of an insurance company investing into multiple risky assets to minimize its ruin … analysis and how investment and reinsurance strategies are related …