Results 101 to 110 of about 11,053 (219)
Optimal risk financing in large corporations through insurance captives
, 2011 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.
Picard, Pierre, Pinquet, Jean
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Stability of the optimal reinsurance with respect to the risk measure [PDF]
, 2010 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.
Balbás, Alejandro +2 more
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On Minimizing the Ultimate Ruin Probability of an Insurer by Reinsurance
Journal of Applied Mathematics, 2018 We consider an insurance company whose reserves dynamics follow a diffusion-perturbed risk model. To reduce its risk, the company chooses to reinsure using proportional or excess-of-loss reinsurance.
Christian Kasumo +2 more
doaj +1 more source
Existence and Uniqueness of Equilibrium in a Reinsurance Syndicate [PDF]
In this paper we consider a reinsurance syndicate, assuming that Pareto optimal allocations exist. Under a continuity assumption on preferences, we show that a competitive equilibrium exists and is unique.
Aase, Knut K.
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Captive insurance companies and the management of non-conventional corporate risks [PDF]
We examine under what conditions setting up a captive insurance company with reinsurance is an optimal solution for risk-averse firms when the insured firm, the insurer and the reinsurer do not know the probability distribution of some risks, and have ...
Lesourd, Jean-Baptiste +1 more
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Securitization of pandemic risk by using coronabond. [PDF]
Financ Mark Portf Mang, 2023 Haffar A, Le Fur É, Khordj M.
europepmc +1 more source
Calibrating CAT bonds for Mexican earthquakes [PDF]
The study of natural catastrophe models plays an important role in the prevention and mitigation of disasters. After the occurrence of a natural disaster, the reconstruction can be financed with catastrophe bonds (CAT bonds) or reinsurance.
Cabrera, Brenda Lopez, Haerdle, Wolfgang
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Company Value with Ruin Constraint in Lundberg Models
Risks, 2018 In this note we study the problem of company values with a ruin constraint in classical continuous time Lundberg models. For this, we adapt the methods and results for discrete de Finetti models to time and state continuous Lundberg models.
Christian Hipp
doaj +1 more source
A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance
, 2013 We consider a controlled diffusion process $(X_t)_{t\ge 0}$ where the controller is allowed to choose the drift $\mu_t$ and the volatility $\sigma_t$ from a set $\K(x) \subset \R\times (0,\infty)$ when $X_t=x$.
Bauerle, Nicole, Bayraktar, Erhan
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