Results 31 to 40 of about 11,053 (219)
RACSAM - Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas, 2009 info:eu-repo/semantics ...
Centeno, M. de Lourdes +1 more
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OPTIMIZATION OF SOME REINSURANCE STRATEGIES [PDF]
Radio Electronics, Computer Science, Control, 2014 The basic purpose of the work is a study of existing approaches to reinsurance directed towards modeling of distribution and minimization of risk for an insurance portfolio, and forming a strategy for its optimal reinsurance using developed decision support system. A method for a search of optimal reinsurance strategy is proposed.
Kozhukhivska, O. A. +3 more
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How Does Reinsurance Create Value to an Insurer? A Cost-Benefit Analysis Incorporating Default Risk
Risks, 2016 Reinsurance is often empirically hailed as a value-adding risk management strategy which an insurer can utilize to achieve various business objectives.
Ambrose Lo
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Optimal non-life reinsurance under Solvency II Regime [PDF]
, 2015 The optimal reinsurance contract is investigated from the perspective of an insurer who would like to minimise its risk exposure under Solvency II. Under this regulatory framework, the insurer is exposed to the retained risk, reinsurance premium and ...
Asimit, A.V., Chi, Y., Hu, J.
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Mathematics, 2021 In this paper, we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial frameworks are
Katia Colaneri +2 more
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Risks, 2023 Optimal reinsurance problems under the risk measures, such as Value-at-Risk (VaR) and Tail-Value-at-Risk (TVaR), have been studied in recent literature.
Qian Xiong +2 more
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Journal of Function Spaces, 2019 This paper analyzes the optimal reinsurance strategy for insurers with a generalized mean-variance premium principle. The surplus process of the insurer is described by the diffusion model which is an approximation of the classical Cramér-Lunderberg ...
Yuzhen Wen, Chuancun Yin
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Stable solutions for optimal reinsurance problems involving risk measures [PDF]
, 2011 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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Optimal robust reinsurance with multiple insurers*
Scandinavian Actuarial Journal, 2023 We study a reinsurer who faces multiple sources of model uncertainty. The reinsurer offers contracts to $n$ insurers whose claims follow compound Poisson processes representing both idiosyncratic and systemic sources of loss. As the reinsurer is uncertain about the insurers' claim severity distributions and frequencies, they design reinsurance ...
Emma Kroell +2 more
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Optimal reinsurance in the presence of counterparty default risk [PDF]
, 2013 The optimal reinsurance arrangement is identified whenever the reinsurer counterparty default risk is incorporated in a one-period model. Our default risk model allows the possibility for the reinsurer to fail paying in full the promised indemnity ...
Asimit, A.V., Badescu, A., Cheung, K. C.
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