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Pareto-optimal reinsurance under individual risk constraints

Ghossoub, Mario; Jiang, Wenjun; Ren, Jiandong - In: Insurance / Mathematics & economics 107 (2022), pp. 307-325

Persistent link: https://www.econbiz.de/10013471249

An insurer's optimal strategy towards a new independent business

Chi, Yichun; Huang, Yuxia; Ken Seng Tan - In: Scandinavian actuarial journal 2024 (2024) 1, pp. 89-107

Persistent link: https://www.econbiz.de/10014519973

Empirical tail risk management with model-based annealing random search

Fan, Qi; Ken Seng Tan; Zhang, Jinggong - In: Insurance / Mathematics & economics 110 (2023), pp. 106-124

Persistent link: https://www.econbiz.de/10014282478

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

On capital allocation for a risk measure derived from ruin theory

Delsing, G. A.; Mandjes, Michel; Spreij, P. J. C.; … - In: Insurance / Mathematics & economics 104 (2022), pp. 76-98

Persistent link: https://www.econbiz.de/10013264939

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

Evaluation of backtesting techniques on risk models with different horizons

Kontaxis, Grigorios; Tsolas, Ioannis E. - In: The journal of risk model validation 15 (2021) 4, pp. 29-50

Persistent link: https://www.econbiz.de/10013173367

Budget-Constrained Optimal Reinsurance Design Under Coherent Risk Measures

Cheung, Ka Chun - 2017

Reinsurance is a versatile risk management strategy commonly employed by insurers to optimize their risk profile. In … this paper, we study an optimal reinsurance design problem minimizing a general law-invariant coherent risk measure of the … net risk exposure of a generic insurer, in conjunction with a general law-invariant comonotonic additive convex …

Persistent link: https://www.econbiz.de/10012942739

Multi-constrained optimal reinsurance model from the duality perspectives

Cheung, Ka Chun; He, Wanting; Wang, He - In: Insurance / Mathematics & economics 113 (2023), pp. 199-214

Persistent link: https://www.econbiz.de/10014466212

Marginals versus copulas : Which account for more model risk in multivariate risk forecasting?

Fritzsch, Simon; Timphus, Maike; Weiß, Gregor - In: Journal of banking and finance 158 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10014451960