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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

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 non-life reinsurance under Solvency II regime

Asimit, Alexandru V.; Chi, Yichun; Hu, Junlei - In: Insurance / Mathematics & economics 65 (2015), pp. 227-237

Persistent link: https://www.econbiz.de/10011428664

Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit

Lu, ZhiYi; Meng, LiLi; Wang, Yujing; Shen, Qingjie - In: Insurance / Mathematics & economics 68 (2016), pp. 92-100

Persistent link: https://www.econbiz.de/10011492551

Optimal risk allocation in reinsurance networks

Bäuerle, Nicole; Glauner, Alexander - In: Insurance / Mathematics & economics 82 (2018), pp. 37-47

Persistent link: https://www.econbiz.de/10011929783

Optimal reinsurance from the perspectives of both an insurer and a reinsurer

Cai, Jun; Lemieux, Christiane; Liu, Fangda - In: Astin bulletin : the journal of the International … 46 (2016) 3, pp. 815-849

Persistent link: https://www.econbiz.de/10011670010

Risk reducers in convex order

He, Junnan; Tang, Qihe; Zhang, Huan - In: Insurance / Mathematics & economics 70 (2016), pp. 80-88

Persistent link: https://www.econbiz.de/10011597183

Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle

Han, Xia; Liang, Zhibin; Young, Virginia R. - In: Scandinavian actuarial journal 2020 (2020) 10, pp. 879-903

Persistent link: https://www.econbiz.de/10012313745

Nonlinearly transformed risk measures : properties and application to optimal reinsurance

Brandtner, Mario; Kürsten, Wolfgang; Rischau, Robert - In: Scandinavian actuarial journal 2020 (2020) 5, pp. 376-395

Persistent link: https://www.econbiz.de/10012262746