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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

Aggregation of randomly weighted large risks

Asimit, Alexandru V.; Hashorva, Enkelejd; Kortschak, Dominik - In: IMA journal of management mathematics 28 (2017) 3, pp. 403-419

Persistent link: https://www.econbiz.de/10011774250

Systemic risk : an asymptotic evaluation

Asimit, Alexandru V.; Li, Jinzhu - In: Astin bulletin : the journal of the International … 48 (2018) 2, pp. 673-698

Persistent link: https://www.econbiz.de/10011875678

Asymptotics for risk capital allocations based on conditional tail expectation

Asimit, Alexandru V.; Furman, Edward; Tang, Qihe; … - In: Insurance / Mathematics & economics 49 (2011) 3, pp. 310-324

Persistent link: https://www.econbiz.de/10009404721

Evaluating risk measures and capital allocations based on multi-losses driven by a heavy-tailed background risk : the multivariate Pareto-II model

Asimit, Alexandru V.; Vernic, Raluca; Zitikis, Riċardas - In: Risks : open access journal 1 (2013) 1, pp. 14-33

Evaluating risk measures, premiums, and capital allocation based on dependent multi-losses is a notoriously difficult task. In this paper, we demonstrate how this can be successfully accomplished when losses follow the multivariate Pareto distribution of the second kind, which is an attractive...

Persistent link: https://www.econbiz.de/10009754682

Optimal risk transfer under quantile-based risk measurers

Asimit, Alexandru V.; Badescu, Alexandru M.; Verdonck, Tim - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 252-265

Persistent link: https://www.econbiz.de/10009785397

Pareto-optimal insurance contracts with premium budget and minimum charge constraints

Asimit, Alexandru V.; Cheung, Ka Chun; Chong, Wing Fung; … - In: Insurance / Mathematics & economics 95 (2020), pp. 17-27

Persistent link: https://www.econbiz.de/10012419220

Optimal robust insurance with a finite uncertainty set

Asimit, Alexandru V.; Hu, Junlei; Xie, Yuantao - In: Insurance / Mathematics & economics 87 (2019), pp. 67-81

Persistent link: https://www.econbiz.de/10012058915

Risk sharing with multiple indemnity environments

Asimit, Alexandru V.; Boonen, Tim J.; Chi, Yichun; … - In: European journal of operational research : EJOR 295 (2021) 2, pp. 587-603

Persistent link: https://www.econbiz.de/10013205971