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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 retention for a stop-loss reinsurance with incomplete information

Hu, Xiang; Yang, Hailiang; Lianzeng, Zhang - In: Insurance / Mathematics & economics 65 (2015), pp. 15-21

Persistent link: https://www.econbiz.de/10011422850

De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information

Hu, Xiang; Duan, Baige; Lianzeng, Zhang - In: Insurance / Mathematics & economics 76 (2017), pp. 48-55

Persistent link: https://www.econbiz.de/10011774768

Optimal form of retention for securitized loans under moral hazard

Dionne, Georges; Malekan, Sara - In: Risks 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/10011996550

Securitization and optimal retention under moral hazard

Malekan, Sara; Dionne, Georges - In: Journal of mathematical economics 55 (2014), pp. 74-85

Persistent link: https://www.econbiz.de/10011297074

Does hunger for bonuses drive the dependence between claim frequency and severity?

Park, Sojung Carol; Kim, Joseph H. T.; Ahn, Jae Youn - In: Insurance / Mathematics & economics 83 (2018), pp. 32-46

Persistent link: https://www.econbiz.de/10011944094

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

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, Riçcardas - In: Risks 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/10010421285

Comonotonic Approximations of Risk Measures for Variable Annuity Guaranteed Benefits with Dynamic Policyholder Behavior

Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan - 2015

The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed bene ts. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly for insurance companies to implement and take so...

Persistent link: https://www.econbiz.de/10010491391

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

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

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