Results 11 to 20 of about 393 (179)
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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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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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 reinsurance with default risk: A reinsurer's perspective
Journal of Industrial & Management Optimization, 2021 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chen, Tao +4 more
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Optimal reinsurance: a reinsurer’s perspective [PDF]
Annals of Actuarial Science, 2017 AbstractIn this paper, the optimal safety loading that the reinsurer should set in the reinsurance pricing is studied, which is novel in the literature. It is first assumed that the insurer will choose the form of the reinsurance contract by following the results derived in Cai et al.
Huang, Fei, Yu, Honglin
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Optimal Dynamic Reinsurance [PDF]
ASTIN Bulletin, 2006 We consider a classical surplus process where the insurer can choose a different level of reinsurance at the start of each year. We assume the insurer’s objective is to minimise the probability of ruin up to some given time horizon, either in discrete or continuous time. We develop formulae for ruin probabilities under the optimal reinsurance strategy,
DICKSON, D., WATERS, H.
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Optimal Reinsurance with One Insurer and Multiple Reinsurers [PDF]
SSRN Electronic Journal, 2015 In this paper, we consider a one-period optimal reinsurance design model with n reinsurers and an insurer. For very general preferences of the insurer, we obtain that there exists a very intuitive pricing formula for all reinsurers that use a distortion premium principle.
Boonen, T., Tan, K.S., Zhuang, S.C.
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Optimal dividend and reinsurance in the presence of two reinsurers [PDF]
Journal of Applied Probability, 2016 Abstract In this paper the optimal dividend (subject to transaction costs) and reinsurance (with two reinsurers) problem is studied in the limit diffusion setting. It is assumed that transaction costs and taxes are required when dividends occur, and that the premiums charged by two reinsurers are calculated according to the exponential premium ...
Chen, M, Yuen, KC
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On optimal layer reinsurance model [PDF]
Applied Mathematical Sciences, 2019 In this paper, we consider the class of non-proportional reinsurance contracts known as layer reinsurance model or limited stop-loss treaty. With the aim of finding an optimal layer reinsurance, we make the choice of considering an optimization criteria preserving stop-loss order: we derive some conditions of optimality by minimizing insurer risk ...
Antonella Campana, Paola Ferretti
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Optimal Asset Allocation for CRRA and CARA Insurers under the Vasicek Interest Rate Model
Discrete Dynamics in Nature and Society, 2022 This paper considers the reinsurance-investment problem with interest rate risks under constant relative risk aversion and constant absolute risk aversion preferences, respectively.
Hanlei Hu, Shaoyong Lai, Hongjing Chen
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