Results 251 to 260 of about 46,061 (295)
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Bowley reinsurance with asymmetric information on the insurer's risk preferences
Scandinavian Actuarial Journal, 2021The Bowley solution refers to the optimal pricing density for the reinsurer and optimal ceded loss for the insurer when there is a monopolistic reinsurer.
Tim J. Boonen, K. Cheung, Yiying Zhang
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Distributionally Robust Reinsurance With Value-at-Risk and Conditional Value-at-Risk
Social Science Research Network, 2021A basic assumption of the classic reinsurance model is that the distribution of the loss is precisely known. In practice, only partial information is available for the loss distribution due to the lack of data and estimation error.
Haiyan Liu, Tiantian Mao
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Catastrophe risk, reinsurance and securitized risk-transfer solutions: a review
China Finance Review International, 2021PurposeCatastrophe (CAT) events associated with natural catastrophes and man-made disasters cause profound impacts on the insurance industry. This research thus reviews the impact of CAT risk on the insurance industry and how traditional reinsurance and ...
Yang Zhao, Jin‐Ping Lee, Min-Teh Yu
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Optimal Reinsurance Arrangements in the Presence of Two Reinsurers
SSRN Electronic Journal, 2012In this paper, we investigate the optimal form of reinsurance from the perspective of an insurer when he decides to cede part of the loss to two reinsurers, where the first reinsurer calculates the premium by expected value principle while the premium principle adopted by the second reinsurer satisfies three axioms: distribution invariance, risk ...
Yichun Chi, Hui Meng
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Optimal reinsurance with model uncertainty and Stackelberg game
Scandinavian Actuarial Journal, 2021In this paper, we obtain an optimal reinsurance contract explicitly in the form of excess-of-loss with a limit when the risk measure is Range-Value-at-Risk.
Joshua Gavagan +4 more
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Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer
Communications in Statistics - Theory and Methods, 2021In this paper, we consider the equilibrium excess-of-loss reinsurance and investment problem for both an insurer and a reinsurer. The risk process of the insurer is described by a classical Cramér-Lundberg (C-L) risk model and the insurer can purchase ...
Danping Li +3 more
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The role of a representative reinsurer in optimal reinsurance
Insurance: Mathematics and Economics, 2016In this paper, we consider a one-period optimal reinsurance design model with nn reinsurers and an insurer. For very general preferences of the insurer and that all reinsurers use a distortion premium principle, we establish the existence of a representative reinsurer and this in turn facilitates solving the optimal reinsurance problem with multiple ...
Boonen, T.J., Tan, K.S., Zhuang, S.C.
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ASTIN Bulletin: The Journal of the International Actuarial Association, 2021
In this paper, we study the optimal reinsurance contracts that minimize the convex combination of the Conditional Value-at-Risk (CVaR) of the insurer’s loss and the reinsurer’s loss over the class of ceded loss functions such that the retained loss ...
Yanhong Chen
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In this paper, we study the optimal reinsurance contracts that minimize the convex combination of the Conditional Value-at-Risk (CVaR) of the insurer’s loss and the reinsurer’s loss over the class of ceded loss functions such that the retained loss ...
Yanhong Chen
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A Stackelberg–Nash equilibrium with investment and reinsurance in mixed leadership game
Scandinavian Actuarial JournalIn this paper, we investigate the optimal reinsurance and investment problem from joint interests of the insurer and the reinsurer in the framework of the mixed leadership game, where both of them can invest their wealth in the financial market, and the ...
Qingqing Zhang +2 more
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Reinsurance and Financial Performance of Non-life Insurance Companies in Ghana
, 2021The study examines how premiums ceded to a reinsurer affect the profitability of non-life insurance companies in Ghana. Secondary data on reinsurance ceded, combined ratio, assets, liabilities and return on assets for 20 non-life insurance companies over
Charles Andoh, S. A. Yamoah
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