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A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints
  • A. Lo
  • Computer Science
  • 9 August 2017
TLDR
We propose a generic constrained reinsurance problem where the objective and constraint functions take the form of Lebesgue integrals whose integrands involve the unit-valued derivative of the ceded loss function to be chosen. Expand
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A NEYMAN-PEARSON PERSPECTIVE ON OPTIMAL REINSURANCE WITH CONSTRAINTS
  • A. Lo
  • Computer Science
  • 1 May 2017
TLDR
This article introduces and employs a variation of the Neyman–Pearson Lemma in statistical hypothesis testing theory to solve a wide class of constrained optimal reinsurance problems analytically and expeditiously. Expand
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General lower bounds on convex functionals of aggregate sums
The determination of the dependence structure giving rise to the minimal convex sum in a general Frechet space is a practical, yet challenging problem in quantitative risk management. In thisExpand
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Characterizations of counter-monotonicity and upper comonotonicity by (tail) convex order
In this paper, we characterize counter-monotonic and upper comonotonic random vectors by the optimality of the sum of their components in the senses of the convex order and tail convex orderExpand
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Reducing risk by merging counter-monotonic risks
In this article, we show that some important implications concerning comonotonic couples and corresponding convex order relations for their sums cannot be translated to counter-monotonicity inExpand
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Characterizing mutual exclusivity as the strongest negative multivariate dependence structure
Mutual exclusivity is an extreme negative dependence structure that was first proposed and studied in Dhaene and Denuit (1999) in the context of insurance risks. In this article, we revisit thisExpand
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Characterizations of optimal reinsurance treaties: a cost-benefit approach
This article investigates optimal reinsurance treaties minimizing an insurer’s risk-adjusted liability, which encompasses a risk margin quantified by distortion risk measures. Via the introduction ofExpand
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How Does Reinsurance Create Value to an Insurer? A Cost-Benefit Analysis Incorporating Default Risk
  • A. Lo
  • Business
  • 16 December 2016
Reinsurance is often empirically hailed as a value-adding risk management strategy which an insurer can utilize to achieve various business objectives. In the context of aExpand
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Title Characterizing mutual exclusivity as the strongest negativemultivariate dependence structure
Mutual exclusivity is an extreme negative dependence structure that was first proposed and studied in Dhaene and Denuit (1999) (The safest dependence structure among risks. Insurance: Mathematics andExpand
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Pareto-optimal reinsurance policies in the presence of individual risk constraints
TLDR
This article characterizes the set of Pareto-optimal reinsurance policies analytically and visualizes the insurer–reinsurer trade-off structure geometrically. Expand
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