Results 91 to 100 of about 11,053 (219)

Robust optimal reinsurance-investment strategy with extrapolative bias premiums and ambiguity aversion

Statistical Theory and Related Fields
This paper investigates the optimal reinsurance-investment strategy for an insurer whose premium is subject to extrapolative bias. In other words, the insurance premium is dynamically updated by a weighted average of prior claims and the initial ...
Ailing Gu, Xuanzhen Zhang, Shumin Chen, Ling Zhang   +3 more
doaj   +1 more source

Systemic risk of systemically important financial institutions in the post‐2008 global financial crisis era: A tail risk network analysis

Journal of Risk and Insurance, Volume 92, Issue 4, Page 950-977, December 2025.
Abstract We examine the systemic risk of 46 systemically important financial institutions (SIFIs), that is, 34 global systemically important banks (G‐SIBs) and 12 global systemically important insurers (G‐SIIs) between 2010 and 2023. We use tail risk network‐based systemic risk measures for SIFIs. We find that G‐SIBs' systemic risk is driven by various
Tao Sun
wiley   +1 more source

Stability of the optimal reinsurance with respect to the risk measure [PDF]

The optimal reinsurance problem is a classic topic in Actuarial Mathematics. Recent approaches consider a coherent or expectation bounded risk measure and minimize the global risk of the ceding company under adequate constraints.
Alejandro Balbás, Antonio Heras, Beatriz Balbás   +2 more
core  

A Note on a "Square-Root Rule" for Reinsurance [PDF]

In previous work, the current authors derived a mathematical expression for the optimal (or "saturation") number of reinsurers for a given number of primary insurers (see Powers and Shubik, 2001).
Martin Shubik, Michael R. Powers
core  

Catastrophe index-linked securities and reinsurance as substituties [PDF]

, 2000
The use of catastrophe bonds (cat bonds) implies the problem of the so called basis risk, resulting from the fact that, in contrast to traditional reinsurance, this kind of coverage cannot be a perfect hedge for the primary’s insured portfolio.
Nell, Martin, Richter, Andreas
core  

The Calculation of Optimal Reinsurance Retention By Value at Risk Approach [PDF]

Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2008
The principal goal of this paper is presenting a new method for estimation of optimal reinsurance retention related to Capital Adequacy and potential losses of an insurance company.
Behnam Shahriar, Seyyed Mohammad Mahdi Ahmadi   +1 more
doaj  

Optimal risk financing in large corporations through insurance captives [PDF]

A captive is an insurance or reinsurance company established by a parent group to finance its own risks. Captives mix internal risk pooling between the business units of the parent group and risk transfer toward the reinsurance market.
Jean Pinquet, Pierre Picard
core  

Improving risk allocation through cat bonds [PDF]

Catastrophe bonds (cat bonds) often use index triggers, such as, for instance, parametric descriptions of a catastrophe. This implies the problem of the so-called basis risk, resulting from the fact that, in contrast to traditional reinsurance, this kind
Nell, Martin, Richter, Andreas
core  

Stochastic Non-Zero Differential Game Between Two Insurers Under CEV (E-CEV) Model

Journal of Mathematics
This paper considers a stochastic non-zero-sum differential game between two competitive insurers. Both insurers are allowed to invest in one risk-free asset and one risky asset, whose price dynamics follow the constant elasticity of variance (CEV) model,
Winfrida Felix Mwigilwa
doaj   +1 more source

Insurer green finance under regulatory cap-and-trade mechanism associated with green/polluting production during a war. [PDF]

PLoS One, 2023
Huang FW, Lin JJ.
europepmc   +1 more source