Optimal reinsurance
Some Recent Developments on Pareto-optimal Reinsurance
... study optimal reinsurance contracts within the context of bargaining games, in which he first derived the set of Pareto-optimal contracts and then iden- tified the one corresponding to the Nash ...
123
Optimal reinsurance in the presence of counterparty default risk
... the optimal reinsurance reflects the buyer’s ideal choice to reduce its exposure, it is not known if reinsurance creates an advantage to the ...the reinsurance impact on policyholder’s welfare ...
18
Optimal reinsurance in the presence of counterparty default risk
... Permanent repository link: http://openaccess.city.ac.uk/13124/ Link to published version: http://dx.doi.org/10.1016/j.insmatheco.2013.09.012 Copyright and reuse: City Research Online aim[r] ...
6
Optimization of Surplus Reinsurance Treaty using the Conditional Tail Expectation
... optimizing reinsurance, act either on the technical benefit (by maximizing it for a given risk), or on the risk (by minimizing it for a given technical benefit), but they do not act on both at the same time in a ...
13
Excess of loss reinsurance under joint survival optimality
... different reinsurance optimality model, which takes into account the interests of both the cedent and the reinsurer, has been considered by Ignatov, Kaishev and Kra- chunov ...
21
Optimal Investment and Risk Control Strategies for an Insurance Fund in Stochastic Framework
... The studies mentioned above, assume that the price processes of risky assets follow Geometric Brownian Motion, where the volatilities of risky assets are as- sumed to be constant or deterministic functions [16] [17]. ...
12
Optimal joint survival reinsurance: An efficient frontier approach
... a reinsurance contract. Such reinsurance optimality criteria were first considered by Ignatov et ...on optimal reinsurance solely from the point of view of the direct insurer is carried ...
28
Optimal non-life reinsurance under Solvency II Regime
... the optimal risk transfer for an insurance company within a one-period ...An optimal reinsurance contract where the counterparty default risk is incorporated into the model has been investigated by ...
23
Optimal Reciprocal Reinsurance under GlueVaR Distortion Risk Measures
... the optimal reciprocal reinsurance strategies when the risk is measured by a general risk measure, namely the GlueVaR distor- tion risk measures, which can be expressed as a linear combination of two tail ...
14
Optimal Portfolios of an Insurer and a Reinsurer under Proportional Reinsurance and Power Utility Preference
... proportional reinsurance on the survival of insurance companies as well as to determine the con- dition that would warrant reinsurance according to the optimal reinsurance proportion chosen by ...
11
Optimal Dynamic Proportional and Excess of Loss Reinsurance under Dependent Risks
... an optimal reinsurance strategy combining a proportional and an excess of loss ...loss reinsurance, we obtain the optimal strategy in a closed form, and the corresponding value ...
10
Optimal Investment Reinsurance Strategies for Insurers with Mean Reversion and Mispricing under Variance Premium Principle
... purchasing reinsurance; meanwhile, they would invest their surplus into financial market to pursue extra ...of optimal reinsurance and investment has at- tracted great ...the optimal ...
15
Optimal Excess of Loss Reinsurance and Investment Problem for Insurers with Loss Aversion
... an optimal reinsurance and investment problem for a loss-averse ...the optimal strategy to maximize the expected S-shaped utility from the terminal ...the optimal strategy in closed- ...the ...
23
Optimal Proportional Reinsurance in a Bivariate Risk Model
... the optimal proportional reinsurance in a collective risk theory model in- volving two classes of insurance ...an optimal reinsurance strategy that maximizes the expected exponential utility ...
8
Excess of loss reinsurance under joint survival optimality
... Several approaches to optimal reinsurance have been attempted in the actuarial literature, based on risk theory, economic game theory and stochastic dynamic control. Examples of research in each of these ...
26
Multiple Attribute Decision Making (MADM) in Proportional-Stop-Loss Reinsurance
... of reinsurance are shown in Figure A1 and their complete definitions are included in Appendix ...treaty reinsurance which covers an entire portfolio with multiple single ...treaty reinsurance could ...
21
Pricing of reinsurance contracts in the presence of catastrophe bonds
... based approach for pricing catastrophe derivatives and reinsurance based on a classic option pricing technique described by Carr & Madan (1999). We will follow the approach of risk-neutral valuation but will ...
35
Dependence and the asymptotic behavior of large claims reinsurance
... We consider an extension of the classical compound Poisson risk model, where the waiting time between two consecutive claims and the forthcoming claim are no longer independent. Asymptotic tail probabilities of the ...
14
Changing competitive dynamics in the reinsurance industry: implications of changes in buyer behavior for reinsurance executives
... by Paula Jarzabkowski, Professor of Strategy, Cass Business School, City University, Rebecca Bednarek, Research Fellow, Cass Business School, City University and Laure Cabantous, Senior Lecturer, Cass Business School, ...
17
Insurance and reinsurance risk management in Albania
... and reinsurance" defines Risk Management as "the totality of methods and rules used by insurance companies to identify, assess, monitor and manage the potential risks, in order to avoid financial ...
11