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The combined stop-loss and quota-share reinsurance : conditional tail expectation-based optimization from the joint perspective of insurer and reinsurer

Syuhada, Khreshna; Hakim, Arief; Sari, Suci - In: Risks : open access journal 9 (2021) 7, pp. 1-21

In the presence of reinsurance, an insurer may effectively reduce its (aggregated) loss by partially ceding such a loss … to a reinsurer. Stop-loss and quota-share reinsurance contracts are commonly agreed between these two parties. In this … are firstly investigated. Optimizing such a reinsurance design is then carried out from the joint perspective of the …

Persistent link: https://www.econbiz.de/10012598952

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

De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information

Hu, Xiang; Duan, Baige; Lianzeng, Zhang - In: Insurance / Mathematics & economics 76 (2017), pp. 48-55

Persistent link: https://www.econbiz.de/10011774768

Optimal form of retention for securitized loans under moral hazard

Dionne, Georges; Malekan, Sara - In: Risks 5 (2017) 4, pp. 1-13

We address the moral hazard problem of securitization using a principal-agent model where the investor is the principal and the lender is the agent. Our model considers structured asset-backed securitization with a credit enhancement (tranching) procedure. We assume that the originator can...

Persistent link: https://www.econbiz.de/10011996550

Securitization and optimal retention under moral hazard

Malekan, Sara; Dionne, Georges - In: Journal of mathematical economics 55 (2014), pp. 74-85

Persistent link: https://www.econbiz.de/10011297074

Does hunger for bonuses drive the dependence between claim frequency and severity?

Park, Sojung Carol; Kim, Joseph H. T.; Ahn, Jae Youn - In: Insurance / Mathematics & economics 83 (2018), pp. 32-46

Persistent link: https://www.econbiz.de/10011944094

Optimal form of retention for securitized loans under moral hazard

Dionne, Georges; Malekan, Sara - In: Risks : open access journal 5 (2017) 4, pp. 1-13

Persistent link: https://www.econbiz.de/10011783323

Securitization and Optimal Retention under Moral Hazard

Malekan, Sara; Dionne, Georges - Centre Interuniversitaire sur le Risque, les Politiques … - 2012

Securitization is one of the most important innovations in financial markets. It is a process of converting illiquid loans that cannot be sold readily to third-party investors into liquid securities and selling them to dispersed investors. As a result, securitization improves liquidity in...

Persistent link: https://www.econbiz.de/10010541212

Securitization and optimal retention under moral hazard

Malekan, Sara; Dionne, Georges - In: Journal of Mathematical Economics 55 (2014) C, pp. 74-85

Securitization improves liquidity in capital markets by allowing originators to remove issued loans from its balance sheet and use the proceeds for other purposes. Securitization is often suspected of being one of the main reasons for the recent financial crisis. One concern is that...

Persistent link: https://www.econbiz.de/10011118006

Bayesian Methods for Estimation, Inference and Forecasting of Flexible Models for Value-at-Risk and Tail Conditional Expectations

Chen, Qian - 2011

Forecasting financial risk and risk measurement methods have been of increasing interest for financial market regulators and financial institutions in the past two decades. While the parametric and semi-parametric models have been widely reviewed in the academic literature, the non-parametric...

Persistent link: https://www.econbiz.de/10009480085

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