The aim of this paper is to merge order statistics with natural catastrophe reinsurance pricing to develop new … role that occurrence losses (order statistics) play in pricing of catastrophe excess of loss (catXL) contracts. Our … framework enables one to analytically quantify the contribution of a given occurrence loss to the mean and covariance structure …

Optimal reinsurance problems under the risk measures, such as Value-at-Risk (VaR) and Tail-Value-at-Risk (TVaR), have … weighted combination of VaR and TVaR. Based on the new risk measures, we deal with the optimal reinsurance problem by … for catastrophic losses. In this paper, we propose a new family of flexible risk measures denoted by LVaR, which is a …

This research studies a dynamic reinsurance model for an ambiguity-averse insurer. The insurer can manage its risk … exposure through the purchase of reinsurance and the issuance of catastrophe bonds (CAT bonds) which are linked to an exogenous … the trigger index. By employing a robust control approach, we analytically derive the optimal risk control policies which …

We provide a novel explanation for the low volume of securitization in catastrophe risk transfer using a signaling … model. Relative to securitization, reinsurance features lower adverse selection costs because reinsurers possess superior … underwriting resources than ordinary capital market investors. Reinsurance premia, however, reflect markups over actuarially fair …

reinsurance, while intermediate and high risk insurers choose partial and full securitization, respectively. An increase in the … loss size increases the average risk of insurers who choose securitization. Consequently, catastrophe risks, which are …We provide a novel explanation for the low volume of securitization in catastrophe risk transfer. Insurers' risk …

different ways of the risk transfer. Reinsurance is necessary to perform correct financial economy of an insurance company …The article discusses particular forms of reinsurance treaties that are used within activities of insurance companies …. Hence, appropriate selection of a scope and methods of reinsurance in the context of insuring risks of catastrophical nature …