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Static risk measures in a frequency-severity framework with systematic risk : application in reinsurance

Assa, Hirbod - In: North American actuarial journal : NAAJ ; leading the … 29 (2025) 1, pp. 94-118

Persistent link: https://www.econbiz.de/10015371153

Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance

Cai, Jun; Liu, Fangda; Yin, Mingren - In: European journal of operational research : EJOR 318 (2024) 1, pp. 310-326

Persistent link: https://www.econbiz.de/10015047732

Portfolio risk analysis of excess of loss reinsurance

Tang, Qihe; Tong, Zhiwei; Xun, Li - In: Insurance / Mathematics & economics 102 (2022), pp. 91-110

Persistent link: https://www.econbiz.de/10013271962

Optimal Reinsurance in a Market of Multiple Reinsurers Under Law-Invariant Convex Risk Measures

Cai, Jun - 2017

It is natural to connect reinsurance problems with risk measures since a reinsurance contract is an efficient risk … management tool for an insurer and the reinsurance premium can also be viewed as a measure of a reinsurer's risk. In this paper …, we assume that the insurer uses a law-invariant convex risk measure, while reinsurers use a Wang's premium principle to …

Persistent link: https://www.econbiz.de/10012944480