This paper presents a new axiomatic characterization of risk measures that are additive for independent random … variables. In contrast to previous work, we include an axiom that guarantees monotonicity of the risk measure. Furthermore, the …. The risk measure characterized can be regarded as a mixed exponential premium. …

Risk transfer is a key risk and capital management tool for insurance companies. Transferring risk between insurers is … used to mitigate risk and manage capital re- quirements. We investigate risk transfer in the context of a network … demonstrate that the optimisation of profitability across the network can be achieved through risk transfer. Considering only …

reinsurance in reducing the insurance company's business risk and its effect on diversification. The results show that reinsurance … obligations to policyholders and beneficiaries. The solvency capital requirement is a risk management tool essential for … problem of aggregating the risks coming from several insurance business lines and analyses the effect of reinsurance on the …

In this paper, we consider the problem of optimal reinsurance design, when the risk is measured by a distortion risk … measure and the premium is given by a distortion risk premium. First, we show how the optimal reinsurance design for the … ceding company, the reinsurance company and the social planner can be formulated in the same way. Second, by introducing the …

reinsurance amounts are obtained under certain assumptions about the dependence structure …

modelling problems in insurance, finance, and other fields. Risk levels of a loss variable and its transforms are often measured … by risk measures. When only partial information on a loss variable is available, risk measures of the loss variable and …-case values of risk measures of a loss variable over an uncertainty set, describing all the possible distributions of the loss …