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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

Solvency II, regulatory capital, and optimal reinsurance : how good are conditional value-at-risk and spectral risk measures?

Brandtner, Mario; Kürsten, Wolfgang - In: Insurance / Mathematics & economics 59 (2014), pp. 156-167

Persistent link: https://www.econbiz.de/10010469143

Optimal reinsurance and investment problem for an insurer with counterparty risk

Zhu, Huiming; Deng, Chao; Yue, Shengjie; Deng, Yingchun - In: Insurance / Mathematics & economics 61 (2015), pp. 242-254

Persistent link: https://www.econbiz.de/10010515877

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

Determination of the optimal retention level based on different measures

Karageyik, Başak Bulut; Şahin, Şule - In: Journal of risk and financial management : JRFM 10 (2017) 1, pp. 1-21

This paper deals with the optimal retention level under four competitive criteria: survival probability, expected profit, variance and expected shortfall of the insurer’s risk. The aggregate claim amounts are assumed to be distributed as compound Poisson, and the individual claim amounts are...

Persistent link: https://www.econbiz.de/10011619115

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

On marine liability portfolio modeling

Guevara Alarcon, William; Albrecher, Hansjörg; … - In: ASTIN bulletin : the journal of the International … 50 (2020) 1, pp. 61-93

Persistent link: https://www.econbiz.de/10012194112

Mean-variance investment and risk control strategies : a time-consistent approach via a forward auxiliary process

Shen, Yang; Zou, Bin - In: Insurance / Mathematics & economics 97 (2021), pp. 68-80

Persistent link: https://www.econbiz.de/10012491963