IDEAS home Printed from https://ideas.repec.org/r/eee/insuma/v67y2016icp65-76.html
   My bibliography  Save this item

Marginal Indemnification Function formulation for optimal reinsurance

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. J. David Cummins & Georges Dionne & Robert Gagné & Abdelhakim Nouira, 2021. "The costs and benefits of reinsurance," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 46(2), pages 177-199, April.
  2. Chi, Yichun & Zhuang, Sheng Chao, 2020. "Optimal insurance with belief heterogeneity and incentive compatibility," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 104-114.
  3. Boonen, Tim J. & Jiang, Wenjun, 2022. "Bilateral risk sharing in a comonotone market with rank-dependent utilities," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 361-378.
  4. Najafabadi, Amir T. Payandeh & Bazaz, Ali Panahi, 2018. "An optimal multi-layer reinsurance policy under conditional tail expectation," Annals of Actuarial Science, Cambridge University Press, vol. 12(1), pages 130-146, March.
  5. Ambrose Lo, 2016. "How Does Reinsurance Create Value to an Insurer? A Cost-Benefit Analysis Incorporating Default Risk," Risks, MDPI, vol. 4(4), pages 1-16, December.
  6. Ghossoub, Mario, 2019. "Budget-constrained optimal insurance with belief heterogeneity," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 79-91.
  7. Ambrose Lo & Zhaofeng Tang, 2019. "Pareto-optimal reinsurance policies in the presence of individual risk constraints," Annals of Operations Research, Springer, vol. 274(1), pages 395-423, March.
  8. Bahman Angoshtari & Virginia R. Young, 2020. "Optimal Insurance to Minimize the Probability of Ruin: Inverse Survival Function Formulation," Papers 2012.03798, arXiv.org.
  9. Anthropelos, Michail & Boonen, Tim J., 2020. "Nash equilibria in optimal reinsurance bargaining," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 196-205.
  10. Jiang, Wenjun & Hong, Hanping & Ren, Jiandong, 2021. "Pareto-optimal reinsurance policies with maximal synergy," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 185-198.
  11. Boonen, Tim J. & Ghossoub, Mario, 2019. "On the existence of a representative reinsurer under heterogeneous beliefs," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 209-225.
  12. Nanjun ZHU & Yulin FENG, 2017. "Optimal Change-Loss Reinsurance Contract Design under Tail Risk Measures for Catastrophe Insurance," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 51(4), pages 225-242.
  13. Boonen, Tim J. & Tan, Ken Seng & Zhuang, Sheng Chao, 2016. "The role of a representative reinsurer in optimal reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 196-204.
  14. Tim J. Boonen, 2016. "Optimal Reinsurance with Heterogeneous Reference Probabilities," Risks, MDPI, vol. 4(3), pages 1-11, July.
  15. Chen, Lv & Shen, Yang & Su, Jianxi, 2020. "A continuous-time theory of reinsurance chains," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 129-146.
  16. Asimit, Alexandru V. & Cheung, Ka Chun & Chong, Wing Fung & Hu, Junlei, 2020. "Pareto-optimal insurance contracts with premium budget and minimum charge constraints," Insurance: Mathematics and Economics, Elsevier, vol. 95(C), pages 17-27.
  17. Boonen, Tim J. & Tan, Ken Seng & Zhuang, Sheng Chao, 2021. "Optimal reinsurance with multiple reinsurers: Competitive pricing and coalition stability," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 302-319.
  18. Kong, Dezhou & Liu, Lishan & Wu, Yonghong, 2018. "Optimal reinsurance under risk and uncertainty on Orlicz hearts," Insurance: Mathematics and Economics, Elsevier, vol. 81(C), pages 108-116.
  19. Cheung, Ka Chun & Phillip Yam, Sheung Chi & Yuen, Fei Lung & Zhang, Yiying, 2020. "Concave distortion risk minimizing reinsurance design under adverse selection," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 155-165.
  20. Boonen, Tim J. & Jiang, Wenjun, 2022. "A marginal indemnity function approach to optimal reinsurance under the Vajda condition," European Journal of Operational Research, Elsevier, vol. 303(2), pages 928-944.
  21. Liang, Xiaoqing & Young, Virginia R., 2018. "Minimizing the probability of ruin: Optimal per-loss reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 181-190.
  22. Tan, Ken Seng & Wei, Pengyu & Wei, Wei & Zhuang, Sheng Chao, 2020. "Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle," European Journal of Operational Research, Elsevier, vol. 282(1), pages 345-362.
  23. Chi, Yichun, 2018. "Insurance choice under third degree stochastic dominance," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 198-205.
  24. Birghila, Corina & Pflug, Georg Ch., 2019. "Optimal XL-insurance under Wasserstein-type ambiguity," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 30-43.
  25. Ghossoub, Mario, 2019. "Budget-constrained optimal insurance without the nonnegativity constraint on indemnities," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 22-39.
  26. Alexander Glauner, 2020. "Dynamic Reinsurance in Discrete Time Minimizing the Insurer's Cost of Capital," Papers 2012.09648, arXiv.org.
  27. Ghossoub, Mario, 2019. "Optimal insurance under rank-dependent expected utility," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 51-66.
  28. Corina Birghila & Tim J. Boonen & Mario Ghossoub, 2023. "Optimal insurance under maxmin expected utility," Finance and Stochastics, Springer, vol. 27(2), pages 467-501, April.
  29. Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel & Heras, Antonio, 2022. "Risk transference constraints in optimal reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 103(C), pages 27-40.
  30. Yuxia Huang & Chuancun Yin, 2018. "A unifying approach to constrained and unconstrained optimal reinsurance," Papers 1807.06892, arXiv.org.
  31. Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2016. "VaR as the CVaR sensitivity : applications in risk optimization," INDEM - Working Paper Business Economic Series id-16-01, Instituto para el Desarrollo Empresarial (INDEM).
  32. Boonen, Tim J. & Ghossoub, Mario, 2021. "Optimal reinsurance with multiple reinsurers: Distortion risk measures, distortion premium principles, and heterogeneous beliefs," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 23-37.
  33. Ghossoub, Mario & Jiang, Wenjun & Ren, Jiandong, 2022. "Pareto-optimal reinsurance under individual risk constraints," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 307-325.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.