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Pricing cataastrophe bonds with multistage stochastic programming

Georgiopoulos, Nick - In: Computational Management Science : CMS 14 (2017) 3, pp. 297-312

Persistent link: https://www.econbiz.de/10011710821

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

An inclusive criterion for an optimal choice of reinsurance

El Attar, Abderrahim; El Hachloufi, Mostafa; Guennoun, … - In: Annals of financial economics 12 (2017) 4, pp. 1-22

Persistent link: https://www.econbiz.de/10011850387

Stable solutions for optimal reinsurance problems involving risk measures

Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: European journal of operational research : EJOR 214 (2011) 3, pp. 796-804

Persistent link: https://www.econbiz.de/10009316167

Optimal proportional reinsurance in a bivariate risk model

Gosio, Cristina; Lari, Ester C.; Ravera, Marina - In: Modern economy 6 (2015) 6, pp. 664-671

Persistent link: https://www.econbiz.de/10011384508

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

CDF formulation for solving an optimal reinsurance problem

Weng, Chengguo; Zhuang, Sheng Chao - In: Scandinavian actuarial journal (2017) 5, pp. 395-418

Persistent link: https://www.econbiz.de/10011772196

Marginal Indemnification Function formulation for optimal reinsurance

Zhuang, Sheng Chao; Weng, Chengguo; Ken Seng Tan; Assa, … - In: Insurance / Mathematics & economics 67 (2016), pp. 65-76

Persistent link: https://www.econbiz.de/10011457155

Optimal excess-of-loss reinsurance for stochastic factor risk models

Brachetta, Matteo; Ceci, Claudia - In: Risks : open access journal 7 (2019) 2/48, pp. 1-23

We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the … premia, which take into account risk fluctuations. Using stochastic control theory based on the Hamilton …-Jacobi-Bellman equation, we analyze the optimal reinsurance strategy under the criterion of maximizing the expected exponential utility of the …

Persistent link: https://www.econbiz.de/10012019228

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