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A Stackelberg reinsurance–investment game with asymmetric information and delay
Optimization, 2020This paper investigates a Stackelberg stochastic differential reinsurance–investment game problem, in which the reinsurer is the leader and the insurer is the follower.
Yanfei Bai +3 more
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Internationalization of the Reinsurance Industry: An Analysis of the Net Exposure of Reinsurers [PDF]
SSRN Electronic Journal, 2010 In today’s global marketplace, the internationalization decision has become increasingly relevant for a greater number of firms. We use the framework of the eclectic paradigm to empirically investigate the decision of U.S. reinsurers to internationalize based on their net exposure in both developed and developing nations. The reinsurance industry poses
William L. Ferguson +3 more
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SIAM Journal on Financial Mathematics, 2020
In this paper, we determine the optimal reinsurance strategy to minimize the probability of drawdown, namely, the probability that the insurer's surplus process reaches some fixed fraction of its maximum value to date.
P. Azcue +3 more
semanticscholar +1 more source
In this paper, we determine the optimal reinsurance strategy to minimize the probability of drawdown, namely, the probability that the insurer's surplus process reaches some fixed fraction of its maximum value to date.
P. Azcue +3 more
semanticscholar +1 more source
Optimal reinsurance policies with two reinsurers in continuous time
Economic Modelling, 2016Abstract An optimal reinsurance problem of an insurer is studied in a continuous-time model, where insurance risk is partly transferred to two reinsurers, one adopting the expected-value premium principle and another one using the variance premium principle.
Ming Zhou +3 more
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2013
The book provides a comparative English/US law study of the operation of facultative reinsurance contracts. Most of the reinsurance litigation in England and the US has involved this type of contract, and there are regular arbitrations and judicial proceedings in the leading common law jurisdictions to which this book will be ...
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The book provides a comparative English/US law study of the operation of facultative reinsurance contracts. Most of the reinsurance litigation in England and the US has involved this type of contract, and there are regular arbitrations and judicial proceedings in the leading common law jurisdictions to which this book will be ...
openaire +1 more source
Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
Optimization, 2020This paper considers a non-zero-sum stochastic differential game between two competitive mean-variance insurers, who aim to seek the time-consistent reinsurance and investment strategies.
Huainian Zhu, Ming Cao, Ying Zhu
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Reinsurance: Actuarial and Statistical Aspects
, 2017Reinsurance: Actuarial and Statistical Aspects provides a survey of both the academic literature in the field as well as challenges appearing in reinsurance practice and puts the two in perspective. The book is written for researchers with an interest in
H. Albrecher, J. Beirlant, J. Teugels
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The Journal of Risk and Insurance, 1986
Features of insurance markets that affect the use of reinsurance are examined. An active reinsurance market exists when the direct market is imperfectly competitive. The manager of an insurer with monopoly power takes reinsurance. Market power in the reinsurance market restricts its use. The manager of a monopsonistic insurer takes reinsurance when his
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Features of insurance markets that affect the use of reinsurance are examined. An active reinsurance market exists when the direct market is imperfectly competitive. The manager of an insurer with monopoly power takes reinsurance. Market power in the reinsurance market restricts its use. The manager of a monopsonistic insurer takes reinsurance when his
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Bowley vs. Pareto optima in reinsurance contracting
European Journal of Operational Research, 2022Tim J. Boonen, Mario Ghossoub
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Heuristic Optimization of Reinsurance Programs and Implications for Reinsurance Buyers
2007Reinsurance contracts represent a very important tool for insurance companies to manage their risk portfolio. In general, they are used if an insurer is not willing or not able to hold certain risk exposures or parts thereof on its own. There exist two main contract types to cede claims to a reinsurer, namely proportional and non-proportional ones ...
Mitschele, Andreas +3 more
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