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Optimal reinsurance : a risk sharing approach

Balbás de la Corte, Alejandro; Balbas, Beatriz; … - In: Risks : open access journal 1 (2013) 2, pp. 45-56

This paper proposes risk sharing strategies, which allow insurers to cooperate and diversify non-systemic risk. We deal … with both deviation measures and coherent risk measures and provide general mathematical methods applying to optimize them … all. Numerical examples are given in order to illustrate how efficiently the non-systemic risk can be diversified and how …

Persistent link: https://www.econbiz.de/10010199029

Optimal reinsurance with concave ceded loss functions under VaR and CTE risk measures

Lu, ZhiYi; Liu, LePing; Meng, ShengWang - In: Insurance / Mathematics & economics 52 (2013) 1, pp. 46-51

Persistent link: https://www.econbiz.de/10009719008

Risk measures and capital requirements : a critique of the Solvency II approach

Floreani, Alberto - In: The Geneva papers on risk and insurance - issues and … 38 (2013) 2, pp. 189-212

Persistent link: https://www.econbiz.de/10009752627

Optimal reinsurance with regulatory initial capital and default risk

Cai, Jun; Lemieux, Christiane; Liu, Fangda - In: Insurance / Mathematics & economics 57 (2014), pp. 13-24

Persistent link: https://www.econbiz.de/10010402747

Properties of a risk measure derived from the expected area in red

Loisel, Stéphane; Trufin, Julien - In: Insurance / Mathematics & economics 55 (2014), pp. 191-199

Persistent link: https://www.econbiz.de/10010366178

Basis risk, procyclicality, and systemic risk in the Solvency II equity risk module

Eling, Martin; Pankoke, David836228189 - 2013

Persistent link: https://www.econbiz.de/10010410034

Risk models-at-risk

Boucher, Christophe; Daníelsson, Jón; Kouontchou, … - In: Journal of banking & finance 44 (2014), pp. 72-92

Persistent link: https://www.econbiz.de/10010410376

Optimal reinsurance analysis from a crop insurer's perspective

Porth, Lysa; Ken Seng Tan; Weng, Chengguo - In: Agricultural finance review 73 (2013) 2, pp. 310-328

Persistent link: https://www.econbiz.de/10010187473

Decision principles derived from risk measures

Goovaerts, Marc J.; Kaas, R.; Laeven, Roger J. A. - In: Insurance / Mathematics & economics 47 (2010) 3, pp. 294-302

Persistent link: https://www.econbiz.de/10008747061

Multivariate reinsurance designs for minimizing an insurer's capital requirement

Zhu, Yunzhou; Chi, Yichun; Weng, Chengguo - In: Insurance / Mathematics & economics 59 (2014), pp. 144-155

Persistent link: https://www.econbiz.de/10010469146