SHOWING 1-10 OF 27 REFERENCES
Dependent risks and excess of loss reinsurance
On Randomized Reinsurance Contracts
- Economics, MathematicsInsurance: Mathematics and Economics
Abstract In this paper we discuss the potential of randomizing reinsurance treaties for efficient risk management. While it may be considered counter-intuitive to introduce additional external…
Risk‐Minimizing Reinsurance Protection for Multivariate Risks
This article establishes that the stop-loss reinsurances are optimal in the sense that they minimize a general law-invariant convex risk measure of the total retained risk by using minimax theorem.
Optimal reinsurance with positively dependent risks
An optimal reinsurance problem in the Cramér–Lundberg model
- MathematicsMath. Methods Oper. Res.
This article considers the surplus process of an insurance company within the Cramér–Lundberg framework with the intention of controlling its performance by means of dynamic reinsurance, and identifies the value function as a particular solution to the associated Hamilton–Jacobi–Bellman equation.
Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
- Economics, Mathematics
Reinsurance contract design when the insurer is ambiguity-averse
- EconomicsInsurance: Mathematics and Economics
Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process
In this paper, we study the retention levels for combinations of quota-share and excess of loss reinsurance by maximizing the insurer’s adjustment coefficient, which in turn minimizes the asymptotic…