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PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS
Abstract Optimal reinsurance indemnities have widely been studied in the literature, yet the bargaining for optimal prices has remained relatively unexplored. Therefore, the key objective of this
Optimal insurance in the presence of reinsurance
This paper studies an optimal insurance and reinsurance design problem among three agents: policyholder, insurer, and reinsurer. We assume that the preferences of the parties are given by distortion
COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES
Abstract This paper studies optimal risk redistribution between firms, such as banks or insurance companies. The introduction of the Basel II regulation and the Swiss Solvency Test has increased the
Solvency II solvency capital requirement for life insurance companies based on expected shortfall
  • T. Boonen
  • Economics
    European actuarial journal
  • 12 July 2017
TLDR
This paper examines the consequences for a life annuity insurance company if thesolvency II solvency capital requirements (SCR) are calibrated based on expected shortfall (ES) instead of value-at-risk (VaR), and finds that for EIOPA’s current quantile 99.5% of the VaR, the stress scenarios of the various risk classes based on ES are close to the stress scenario based on VaR.
Insurance with Multiple Insurers: A Game-Theoretic Approach
This paper studies the set of Pareto optimal insurance contracts and the core of an insurance game. Our setting allows multiple insurers with translation invariant preferences. We characterise the
Modeling and Forecasting Mortality With Economic Growth: A Multipopulation Approach
TLDR
This article extends the Li and Lee model by including economic growth, represented by the real gross domestic product (GDP) per capita, to capture the common mortality trend for a group of populations with similar socioeconomic conditions and finds that the proposed model provides a better in-sample fit and an out-of-sample forecast performance.
Optimal Reinsurance with Heterogeneous Reference Probabilities
This paper studies the problem of optimal reinsurance contract design. We let the insurer use dual utility, and the premium is an extended Wang’s premium principle. The novel contribution is that we
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