References
SHOWING 1-10 OF 27 REFERENCES
On Randomized Reinsurance Contracts
- Economics, MathematicsInsurance: Mathematics and Economics
- 2019
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
- Mathematics
- 2014
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.
An optimal reinsurance problem in the Cramér–Lundberg model
- MathematicsMath. Methods Oper. Res.
- 2017
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
- 2008
Reinsurance contract design when the insurer is ambiguity-averse
- EconomicsInsurance: Mathematics and Economics
- 2019
Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process
- Mathematics
- 2015
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…