Narrow search
Showing 1 - 10 of 95
Cover Image
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
Cover Image
Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
Feng, Runhuan; Volkmer, Hans W. - In: Astin bulletin : the journal of the International … 44 (2014) 3, pp. 653-681
Persistent link: https://www.econbiz.de/10010407941
Cover Image
Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior
Feng, Runhuan; Jing, Xiaochen; Dhaene, Jan - 2015
The computation of various risk metrics is essential to the quantitative risk management of variable annuity guaranteed benefits. The current market practice of Monte Carlo simulation often requires intensive computations, which can be very costly for insurance companies to implement and take so...
Persistent link: https://www.econbiz.de/10010464782
Cover Image
Risk-based capital for variable annuity under stochastic interest rate
Wang, JinDong; Xu, Wei - In: ASTIN bulletin : the journal of the International … 50 (2020) 3, pp. 959-999
Persistent link: https://www.econbiz.de/10012307392
Cover Image
The probability of hospital bankruptcy : a stochastic approach
Shanmugam, Ramalingam; Beauvais, Brad; Dolezel, Diane; … - In: International Journal of Financial Studies : open … 12 (2024) 3, pp. 1-23
Healthcare leaders are faced with many financial challenges in the contemporary environment, leading to financial distress and notable instances of bankruptcies in recent years. What is not well understood are the specific conditions that may lead to organizational economic failure. Though there...
Persistent link: https://www.econbiz.de/10015101915
Cover Image
Joint asymptotic distributions of smallest and largest insurance claims
Albrecher, Hansjörg; Robert, Christian Yann; Teugels, … - In: Risks : open access journal 2 (2014) 3, pp. 289-314
Assume that claims in a portfolio of insurance contracts are described by independent and identically distributed random variables with regularly varying tails and occur according to a near mixed Poisson process. We provide a collection of results pertaining to the joint asymptotic Laplace...
Persistent link: https://www.econbiz.de/10010400269
Cover Image
Optimal surplus-dependent reinsurance under regime-switching in a Brownian risk model
Eisenberg, Julia; Fabrykowski, Lukas; Schmeck, Maren Diane - In: Risks : open access journal 9 (2021) 4, pp. 1-25
In this paper, we consider a company that wishes to determine the optimal reinsurance strategy minimising the total … a Brownian motion with drift, and the reinsurance price is modelled by a continuous-time Markov chain with two states …. The presence of regime-switching substantially complicates the optimal reinsurance problem, as the surplus …
Persistent link: https://www.econbiz.de/10012508723
Cover Image
A perturbation approach to optimal investment, liability ratio, and dividend strategies
Jin, Zhuo; Xu, Zuo Quan; Zou, Bin - In: Scandinavian actuarial journal 2022 (2022) 2, pp. 165-188
Persistent link: https://www.econbiz.de/10012872656
Cover Image
A Stackelberg reinsurance-investment game underα-maxminmean-variance criterion and stochastic volatility
Guana, Guohui; Liang, Zongxia; Song, Yilun - In: Scandinavian actuarial journal 2024 (2024) 1, pp. 28-63
Persistent link: https://www.econbiz.de/10014519918