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The impact of reinsurance strategies on capital requirements for premium risk in insurance

Clemente, Gian Paolo; Savelli, Nino; Zappa, Diego - In: Risks : open access journal 3 (2015) 2, pp. 164-182

but also expense volatility. To measure the effect of risk mitigation, suitable reinsurance strategies are pursued. We … analyze how nai͏̈ve coverage as conventional Quota Share and Excess of Loss reinsurance may modify the exact moments of the …

Persistent link: https://www.econbiz.de/10011300336

Weighted sums of subexponential random variables and asymptotic dependence between Returns on reinsurance equities

Geluk, J. L.; Vries, Casper G. de - 2004

and retrocession practices in the reinsurance industry expose different reinsurers to the same subexponential risks on …

Persistent link: https://www.econbiz.de/10011337998

ART versus reinsurance : the disciplining effect of information insensitivity

Brandts, Silke N.; Laux, Christian - 2005

reinsurer has private information about his client's risk, outside reinsurers will price their reinsurance offer less …

Persistent link: https://www.econbiz.de/10009764764

Optimal reinsurance under variance related premium principles

Chi, Yichun - In: Insurance / Mathematics & economics 51 (2012) 2, pp. 310-321

Persistent link: https://www.econbiz.de/10009669625

Ruin probability and time of ruin with a proportional reinsurance threshold strategy

Castañer, Anna; Claramunt, Maria Mercè; Mármol, Maite - In: Top : transactions in operations research 20 (2012) 3, pp. 614-638

Persistent link: https://www.econbiz.de/10009629094

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

Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting

Bai, Lihua; Cai, Jun; Zhou, Ming - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 664-670

Persistent link: https://www.econbiz.de/10010227909

Survival probabilities in bivariate risk models, with application to reinsurance

Castañer, Anna; Claramunt, Maria Mercè; Lefevre, Claude - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 632-642

Persistent link: https://www.econbiz.de/10010227916

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

Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles

Cui, Wei; Yang, Jingping; Wu, Lan - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 74-85

Persistent link: https://www.econbiz.de/10009785419