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On fair reinsurance premiums : capital injections in a perturbed risk model

Ben Salah, Zied; Garrido, José - In: Insurance / Mathematics & economics 82 (2018), pp. 11-20

Persistent link: https://www.econbiz.de/10011929775

Characterizations of optimal reinsurance treaties : a cost-benefit approach

Cheung, Ka Chun; Lo, Ambrose - In: Scandinavian actuarial journal (2017) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10011771935

A state dependent reinsurance model

Boxma, Onno; Frostig, Esther; Perry, David; Yosef, Rami - In: Insurance / Mathematics & economics 74 (2017), pp. 170-181

Persistent link: https://www.econbiz.de/10011712465

On the compound poisson risk model with periodic capital injections

Zhang, Zhimin; Cheung, Eric C. K.; Yang, Hailiang - In: Astin bulletin : the journal of the International … 48 (2018) 1, pp. 435-477

Persistent link: https://www.econbiz.de/10011875624

Ruin probability and time of ruin with a proportional reinsurance threshold strategy

Castañer, Anna; Claramunt, Maria Mercè; Mármol, Maite - In: Top : transactions in operations research 20 (2012) 3, pp. 614-638

Persistent link: https://www.econbiz.de/10009629094

Optimal Reinsurance with General Premium Principles

Chi, Yichun - 2013

In this paper, we study two classes of optimal reinsurance models from the perspective of an insurer by minimizing its … reinsurance premium principles satisfy three basic axioms: distribution invariance, risk loading and stop-loss ordering preserving … obligated to pay more for larger loss, we show that the layer reinsurance is quite robust in the sense that it is always optimal …

Persistent link: https://www.econbiz.de/10013093475

Reinsurance of multiple risks with generic dependence structures

Guerra, Manuel; Moura, Alexandra Bugalho de - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 547-571

Persistent link: https://www.econbiz.de/10012793952

On a family of risk measures based on largest claims

Castaño-Martínez, A.; Pigueiras, G.; Sordo, M. A. - In: Insurance / Mathematics & economics 86 (2019), pp. 92-97

Persistent link: https://www.econbiz.de/10012058833

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

Worst-case portfolio optimization under stochastic interest rate risk

Engler, Tina; Korn, Ralf - In: Risks : open access journal 2 (2014) 4, pp. 469-488

We investigate a portfolio optimization problem under the threat of a market crash, where the interest rate of the bond is modeled as a Vasicek process, which is correlated with the stock price process. We adopt a non-probabilistic worst-case approach for the height and time of the market crash....

Persistent link: https://www.econbiz.de/10010489062