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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

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

Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model

Zheng, Xiaoxiao; Zhou, Jieming; Sun, Zhongyang - In: Insurance / Mathematics & economics 67 (2016), pp. 77-87

Persistent link: https://www.econbiz.de/10011457158

Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling

Zhang, Xin; Meng, Hui; Zeng, Yan - In: Insurance / Mathematics & economics 67 (2016), pp. 125-132

Persistent link: https://www.econbiz.de/10011457200