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principle of economizing on collateral through diversification. We examine the theoretical foundations beneath this paradox …
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specifically, in reinsurance problems. In this area, the complexity of the models and assumptions considered in the definition of … the reinsurance rules and conditions produces hard black-box optimization problems (problems in which the objective … solved in order to obtain the optimal output of the reinsurance. The application of traditional optimization approaches is …
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Assume that claims in a portfolio of insurance contracts are described by independent and identically distributed random variables with regularly varying tails and occur according to a near mixed Poisson process. We provide a collection of results pertaining to the joint asymptotic Laplace...
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