Results 81 to 90 of about 11,053 (219)
Upper Comonotonicity and Risk Aggregation Under Dependence Uncertainty
Mathematical Finance, Volume 36, Issue 1, Page 118-139, January 2026.ABSTRACT In this paper, we study dependence uncertainty and the resulting effects on tail risk measures, which play a fundamental role in modern risk management. We introduce the notion of a regular dependence measure, defined on multimarginal couplings, as a generalization of well‐known correlation statistics such as the Pearson correlation. The first
Corrado De Vecchi +2 more
wiley +1 more source
A "square-root rule" for reinsurance
Revista Contabilidade & Finanças, 2006 In previous work, the authors derived a mathematical expression for the optimal (or "saturation") number of reinsurers for a given number of primary insurers (see Powers and Shubik, 2001).
Michael R. Powers, Martin Shubik
doaj +1 more source
Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk [PDF]
, 2013 This paper provides a closed-form Value-at-Risk (VaR) for the net exposure of an annuity provider, taking into account both mortality and interest-rate risk, on both assets and liabilities.
Avellaneda +11 more
core +1 more source
International Journal of Mathematics and Mathematical Sciences, Volume 2026, Issue 1, 2026.Loss data may often exhibit features such as multimodality and skewness that render single distributions incapable of capturing all these features. Insurance data often comprise of extremely large losses, of which single distributions may inadequately capture their varying features of different sizes.
Williams Kumi +4 more
wiley +1 more source
Stable solutions for optimal reinsurance problems involving risk measures. [PDF]
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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Reinsurance, ruin and solvency issues: some pitfalls [PDF]
In this paper, we consider optimal reinsurance from an insurer's point of view. Given a (low) ruin probability target, insurers want to find the optimal risk transfer mechanism, i.e. either a proportional or a nonproportional reinsurance treaty. Since it
Arthur Charpentier
core
The optimal reinsurance treaty [PDF]
ASTIN Bulletin, 1969 1. Some years ago I discussed optimal reinsurance treaties, without trying to give a precise definition of this term [1]. I suggested that a reinsurance contract could be called “most efficient” if it, for a given net premium, maximized the reduction of the variance in the claim distribution of the ceding company.
openaire +1 more source
Climate Change and Insurance: Embracing Resilience for Private Market Survival
Sustainable Development, Volume 33, Issue 6, Page 8499-8510, December 2025.ABSTRACT Private insurance is a major mechanism for managing natural disaster risk in the U.S. Public programs cannot generate sufficient capital to provide adequate protection to homes and businesses. Our literature review indicates that disaster impacts are increasing because of climate change and continuing development in high‐risk areas, which is ...
John A. Roper +2 more
wiley +1 more source
Optimal Investment and Optimal Reinsurance [PDF]
, 2018 In this paper, Aiming at the delay claim risk model, the optimal investment and optimal reinsurance strategy which makes the expected index utility maximum of the final wealth are studied under the principle of variance premium principle.
Liu, Y. (Yuedi)
core
Journal of Risk and Insurance, Volume 92, Issue 4, Page 909-949, December 2025.Abstract We analyze how public risk disclosure, specifically Solvency II, impacts life insurers' risk‐taking behavior. Using data from 58 German life insurers from 2016 to 2023, we find that publicly reported solvency ratios can affect premium growth and surrender rates.
Moritz Hanika
wiley +1 more source