Results 1 to 10 of about 11,014 (181)
Time-consistent robust investment-reinsurance strategy with common shock dependence under CEV model. [PDF]
PLoS ONEThis paper investigates the optimal robust equilibrium investment and reinsurance strategy in a model with common shock dependent claims for an ambiguity-averse insurer (AAI). Suppose that the insurance company can purchase proportional reinsurance whose
Lu Li, Zhijian Qiu
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Optimal Reinsurance of Dependent Risks
Revstat Statistical Journal, 2022 We analyse the problem of finding the optimal combination of quota-share and stop loss treaties, maximizing the expected utility or the adjustment coefficient of the cedent, for each of two risks dependent through a copula structure.
A. Bugalho de Moura , M.L. Centeno
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Optimal Reinsurance with Heterogeneous Reference Probabilities [PDF]
Risks, 2016 This paper studies the problem of optimal reinsurance contract design. We let the insurer use dual utility, and the premium is an extended Wang’s premium principle.
Tim J. Boonen
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Optimal Risk Allocation in Reinsurance Networks [PDF]
Insurance: Mathematics and Economics, 2017 In this paper we consider reinsurance or risk sharing from a macroeconomic point of view. Our aim is to find socially optimal reinsurance treaties.
Bäuerle, Nicole, Glauner, Alexander
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Mathematics, 2019 Most of the existing literature on optimal investment-reinsurance only studies from the perspective of insurers and also treats the investment-reinsurance decision as a continuous process.
Helu Xiao +3 more
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Effectively Tackling Reinsurance Problems by Using Evolutionary and Swarm Intelligence Algorithms [PDF]
Risks, 2014 This paper is focused on solving different hard optimization problems that arise in the field of insurance and, more specifically, in reinsurance problems.
Sancho Salcedo-Sanz +4 more
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Optimal Reinsurance: A Risk Sharing Approach [PDF]
Risks, 2013 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 ...
Alejandro Balbas +2 more
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Optimal Excess-of-Loss Reinsurance for Stochastic Factor Risk Models [PDF]
Risks, 2019 We study the optimal excess-of-loss reinsurance problem when both the intensity of the claims arrival process and the claim size distribution are influenced by an exogenous stochastic factor.
Matteo Brachetta, Claudia Ceci
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Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance [PDF]
Journal of Inequalities and Applications, 2018 This paper investigates optimal investment and reinsurance policies for an insurance company under a correlated risk model with common Poisson shocks. The goal of the insurance company is to minimize the ultimate ruin probability.
Lin Xu, Minghan Wang, Bin Zhang
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Optimal Reinsurance Revisited - Point of View of Cedent and Reinsurer [PDF]
, 2017 It is known that the partial stop-loss contract is an optimal reinsurance form under the VaR risk measure. Assuming that market premiums are set according to the expected value principle with varying loading factors, the optimal reinsurance parameters of
Hürlimann, Werner
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