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Dynamic reinsurance in discrete time minimizing the insurer's cost of capital

Glauner, Alexander - In: Scandinavian actuarial journal 2022 (2022) 4, pp. 279-306

Persistent link: https://www.econbiz.de/10013370638

A marginal indemnity function approach to optimal reinsurance under the Vajda condition

Boonen, Tim J.; Jiang, Wenjun - In: European journal of operational research : EJOR 303 (2022) 2, pp. 928-944

Persistent link: https://www.econbiz.de/10013364047

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

Risk measures derived from a regulator's perspective on the regulatory capital requirements for insurers

Cai, Jun; Mao, Tiantian - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 1065-1092

Persistent link: https://www.econbiz.de/10012307399

Optimal reinsurance under the linear combination of risk measures in the presence of reinsurance loss limit

Xiong, Qian; Peng, Zuoxiang; Nadarajah, Saralees - In: Risks : open access journal 11 (2023) 7, pp. 1-26

Optimal reinsurance problems under the risk measures, such as Value-at-Risk (VaR) and Tail-Value-at-Risk (TVaR), have … weighted combination of VaR and TVaR. Based on the new risk measures, we deal with the optimal reinsurance problem by …. The results indicate that the two-layer reinsurance is always an optimal reinsurance policy with both types of constraints …

Persistent link: https://www.econbiz.de/10014340271

Bowley solution under the reinsurer's default risk

Chen, Yanhong; Cheung, Ka Chun; Zhang, Yiying - In: Insurance : mathematics and economics 115 (2024), pp. 36-61

Persistent link: https://www.econbiz.de/10015066727

Optimal reinsurance design under distortion risk measures and reinsurer's default risk with partial recovery

Yong, Yaodi; Cheung, Ka Chun; Zhang, Yiying - In: ASTIN bulletin : the journal of the International … 54 (2024) 3, pp. 738-766

Persistent link: https://www.econbiz.de/10015154573

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 : 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 with regulatory initial capital and default risk

Cai, Jun; Lemieux, Christiane; Liu, Fangda - In: Insurance / Mathematics & economics 57 (2014), pp. 13-24

Persistent link: https://www.econbiz.de/10010402747