Results 181 to 190 of about 11,053 (219)
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Journal of Applied Probability, 1970
The fundamental principle underlying insurance is that the expected value of claims is equal to the premium. This was established by Bernoulli [4] in 1738. Subsequent work on the development of ‘risk theory’ led to research concerning the probability of ‘ruin’ of an insurance company.
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The fundamental principle underlying insurance is that the expected value of claims is equal to the premium. This was established by Bernoulli [4] in 1738. Subsequent work on the development of ‘risk theory’ led to research concerning the probability of ‘ruin’ of an insurance company.
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Blätter der DGVFM, 2003
We consider a risk process modelled as a compound Poisson process. We find the optimal dynamic reinsurance strategy to minimize infinite time ruin probability in a general setup. A closer look on special types of reinsurance: Proportional, unlimited and limited excess of loss reinsurance shows different features of optimal reinsurance strategies.
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We consider a risk process modelled as a compound Poisson process. We find the optimal dynamic reinsurance strategy to minimize infinite time ruin probability in a general setup. A closer look on special types of reinsurance: Proportional, unlimited and limited excess of loss reinsurance shows different features of optimal reinsurance strategies.
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Optimal reinsurance with expectile
Scandinavian Actuarial Journal, 2015In this paper, we study optimal reinsurance treaties that minimize the liability of an insurer. The liability is defined as the actuarial reserve on an insurer’s risk exposure plus the risk margin required for the risk exposure. The risk margin is determined by the risk measure of expectile.
Jun Cai, Chengguo Weng
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Optimal reinsurance policies with two reinsurers in continuous time
Economic Modelling, 2016Abstract An optimal reinsurance problem of an insurer is studied in a continuous-time model, where insurance risk is partly transferred to two reinsurers, one adopting the expected-value premium principle and another one using the variance premium principle.
Hui Meng, Ming Zhou, Tak Kuen Siu
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Optimal Reinsurance Revisited – A Geometric Approach
ASTIN Bulletin, 2010AbstractIn this paper, we reexamine the two optimal reinsurance problems studied in Cai et al. (2008), in which the objectives are to find the optimal reinsurance contracts that minimize the value-at-risk (VaR) and the conditional tail expectation (CTE) of the total risk exposure under the expectation premium principle.
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Optimal Reinsurance with General Premium Principles
SSRN Electronic Journal, 2011zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chi, Yichun, Tan, Ken Seng
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The role of a representative reinsurer in optimal reinsurance
Insurance: Mathematics and Economics, 2016zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Boonen, T.J., Tan, K.S., Zhuang, S.C.
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Proportional Mutual Reinsurance Optimization
2013In this chapter, we investigate the optimization of mutual proportional reinsurance — a mutual reserve system that is intended for the collective reinsurance needs of homogeneous mutual members, such as P&I Clubs in marine mutual insurance and reserve banks in the U.S. Federal Reserve. Compared to general (non-mutual) insurance models,
Liu John, Taksar Michael, Yuan Jiguang
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OPTIMAL REINSURANCE FROM THE PERSPECTIVES OF BOTH AN INSURER AND A REINSURER
ASTIN Bulletin, 2015AbstractOptimal reinsurance from an insurer's point of view or from a reinsurer's point of view has been studied extensively in the literature. However, as two parties of a reinsurance contract, an insurer and a reinsurer have conflicting interests. An optimal form of reinsurance from one party's point of view may be not acceptable to the other party ...
Cai, Jun +2 more
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Heuristic Optimization of Reinsurance Programs and Implications for Reinsurance Buyers
2007Reinsurance contracts represent a very important tool for insurance companies to manage their risk portfolio. In general, they are used if an insurer is not willing or not able to hold certain risk exposures or parts thereof on its own. There exist two main contract types to cede claims to a reinsurer, namely proportional and non-proportional ones ...
Mitschele, Andreas +3 more
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