Results 31 to 40 of about 393 (179)
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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ASTIN Bulletin, 1966 In this paper an attempt is made to find an answer to the question, “What is the most advantageous size for the retention limit of a risk portfolio, given the fact that a certain stability requirement is to be satisfied?”This problem will be approached from the viewpoint of an insurer who wishes to obtain a certain degree of stability at lowest cost.It
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Optimal Reinsurance Under General Law-Invariant Convex Risk Measure and TVaR Premium Principle
Risks, 2016 In this paper, we study the optimal reinsurance problem where risks of the insurer are measured by general law-invariant risk measures and premiums are calculated under the TVaR premium principle, which extends the work of the expected premium principle.
Mi Chen, Wenyuan Wang, Ruixing Ming
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Distributionally Robust Reinsurance with Glue Value-at-Risk and Expected Value Premium
Mathematics, 2023 In this paper, we explore a distributionally robust reinsurance problem that incorporates the concepts of Glue Value-at-Risk and the expected value premium principle.
Wenhua Lv, Linxiao Wei
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Optimal dynamic reinsurance with worst-case default of the reinsurer
European Actuarial Journal, 2022 AbstractWe consider the optimization problem of a large insurance company that wants to maximize the expected utility of its surplus through the optimal control of the proportional reinsurance. In addition, the insurer is exposed to the risk of default of its reinsurer at the worst possible time, a setting that is closely related to a scenario of the ...
Ralf Korn, Lukas Müller
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Distribution channels of insurance and reinsurance services [PDF]
Marketing (Beograd. 1991), 2007 Insurance and reinsurance industry is famous for its traditionalism, that is uninventiveness and neglecting of marketing as business concept and function and by doing so, neglecting opportunities for optimal combination of different distribution channels.
Njegomir Vladimir
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Risks, 2021 In the presence of reinsurance, an insurer may effectively reduce its (aggregated) loss by partially ceding such a loss to a reinsurer. Stop-loss and quota-share reinsurance contracts are commonly agreed between these two parties.
Khreshna Syuhada, Arief Hakim, Suci Sari
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Threshold Asymmetric Conditional Autoregressive Range (TACARR) Model
Journal of Forecasting, EarlyView.ABSTRACT This paper introduces a Threshold Asymmetric Conditional Autoregressive Range (TACARR) model for analyzing the daily price ranges of financial assets. The proposed formulation assumes that the conditional expected range switches between two regimes, representing upward and downward market states, with the disturbance distribution also allowed ...
Isuru Ratnayake, V. A. Samaranayake
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Optimal reinsurance and investment for an insurer with the jump diffusion risk model in A-C case
Systems Science & Control Engineering, 2019 In this paper, we study the optimal reinsurance and investment problem for a class of jump-diffusion model, where the diffusion term represents the additional claims (i.e. A-C case). The insurer can purchase proportional reinsurance while allowing she/he
Dengfeng Xia, Weijie Yuan, Weiyin Fei
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