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Stability of the optimal reinsurance with respect to the risk measure
Balbás de la Corte, Alejandro; Balbás, Beatriz; … - 2010
Persistent link: https://www.econbiz.de/10003972666
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Optimal reinsurance arrangements under tail risk measures
Bernard, Carole; Tian, Weidong - In: The journal of risk and insurance : the journal of the … 76 (2009) 3, pp. 709-725
Persistent link: https://www.econbiz.de/10003877877
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Optimality of general reinsurance contracts under CTE risk measure
Tan, Ken Seng; Weng, Chengguo; Zhang, Yi - In: Insurance / Mathematics & economics 49 (2011) 2, pp. 175-187
Persistent link: https://www.econbiz.de/10009242047
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On optimal reinsurance policy with distortion risk measures and premiums
Assa, Hirbod - In: Insurance / Mathematics & economics 61 (2015), pp. 70-75
Persistent link: https://www.econbiz.de/10010515925
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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
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Optimal reinsurance with concave ceded loss functions under VaR and CTE risk measures
Lu, ZhiYi; Liu, LePing; Meng, ShengWang - In: Insurance / Mathematics & economics 52 (2013) 1, pp. 46-51
Persistent link: https://www.econbiz.de/10009719008
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Optimal reinsurance in the presence of counterparty default risk
Asimit, Alexandru V.; Badescu, Alexandru M.; Cheung, Ka Chun - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 690-697
Persistent link: https://www.econbiz.de/10010227904
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Optimal reinsurance with limited ceder risk : a stochastic dominance approach
Chi, Yichun; Lin, Sheldon - In: Astin bulletin : the journal of the International … 44 (2014) 1, pp. 103-126
Persistent link: https://www.econbiz.de/10010240677
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Optimal investment and proportional reinsurance with risk constraint
Liu, Jingzhen; Yiu, Ka Fai Cedric; Loxton, Ryan C.; … - In: Journal of mathematical finance 3 (2013) 4, pp. 437-447
Persistent link: https://www.econbiz.de/10010240806
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Optimal reinsurance : a risk sharing approach
Balbás de la Corte, Alejandro; Balbas, Beatriz; … - In: Risks : open access journal 1 (2013) 2, pp. 45-56
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...
Persistent link: https://www.econbiz.de/10010199029