Results 181 to 190 of about 3,100,512 (242)

Reinsurance under Conditions of Capital Market Equilibrium: A Note

The Journal of Finance, 1981
HAVING ACCEPTED A CONTINGENT liability under an insurance contract, the insurer has an insurable interest in the subject of the insurance policy and can insure all or part of that liability with a second insurer. This reinsurance agreement protects the first insurer (known as the primary or ceding insurer) against unusually large claims, since it ...
Doherty, N A, Tinic, S M
openaire   +1 more source

Equilibrium in a Reinsurance Market: Introducing Taxes

The Geneva Papers on Risk and Insurance Theory, 1994
We introduce profit taxation in Borch's [1962] model of a competitive insurance market. We analyze the impact of taxation on equilibrium prices and characterize the cases where optimal risk sharing is preserved. In the case of Constant Relative Risk Aversion (CRRA) utility functions, this abstract characterization is translated into simple conditions ...
Pierre-François Koehl, Jean-Charles Rochet   +1 more
openaire   +2 more sources

A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market

Mathematical Methods of Operations Research, 2021
Yanfei Bai, Zhongbao Zhou, Helu Xiao, Rui Gao, Feimin Zhong   +4 more
semanticscholar   +1 more source

Equilibria in a proportional reinsurance market

Insurance: Mathematics and Economics, 1984
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Testing for Asymmetric Information in Reinsurance Markets

The Geneva Papers on Risk and Insurance - Issues and Practice, 2014
Empirical studies on asymmetric information have mainly focused on primary insurance markets, but comparatively little attention has been given to reinsurance markets. This study investigates the existence of asymmetric information by testing for a positive correlation between coverage and ex post risk in three major reinsurance markets for the period ...
Zhiqiang Yan, Liang Hong
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Optimal time-consistent reinsurance and investment strategies for a jump-diffusion financial market without cash

The North American journal of economics and finance, 2021
Caibin Zhang, Zhibin Liang
semanticscholar   +1 more source

Risk Sharing and Pricing in the Reinsurance Market

2013
Insurance activities cannot be solely based on pooling arguments as issued policies share common risk drivers which can be hard to diversify. These risks can be transferred from insurers to reinsurers. We describe the reinsurance market and discuss the demand for reinsurance. Moral hazard issues and alternative risk transfer mechanisms (securitization)
openaire   +3 more sources

Worst-case reinsurance strategy with likelihood ratio uncertainty

ASTIN Bulletin: The Journal of the International Actuarial Association
In this paper, we explore a non-cooperative optimal reinsurance problem incorporating likelihood ratio uncertainty, aiming to minimize the worst-case risk of the total retained loss for the insurer.
David Landriault, Fangda Liu, Ziyue Shi
semanticscholar   +1 more source

Stochastic orders in dynamic reinsurance markets

Finance and Stochastics, 2004
The author studies dynamic reinsurance markets where the trade index \(X\), which is defined as claims less premiums on some insurance portfolio, is driven by a compound Poisson process. This leads to an incomplete market with two trade assets, a savings account and the price process \(X\).
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Time-consistent per-loss reinsurance and investment strategies in correlated markets with smooth ambiguity

International Journal of Control
In this paper, we study the time-consistent per-loss reinsurance and investment strategies in correlated markets for an insurer to maximise its mean-variance criterion, where the insurance market and financial market are correlated due to the so-called ...
Fudong Wang, Zhibin Liang, K. Yuen, Caibin Zhang   +3 more
semanticscholar   +1 more source