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Are quantile risk measures suitable for risk-transfer decisions?

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  • Guerra, Manuel
  • Centeno, M.L.

Abstract

Although controversial from the theoretical point of view, quantile risk measures are widely used by institutions and regulators.

Suggested Citation

  • Guerra, Manuel & Centeno, M.L., 2012. "Are quantile risk measures suitable for risk-transfer decisions?," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 446-461.
    • Handle: RePEc:eee:insuma:v:50:y:2012:i:3:p:446-461
    DOI: 10.1016/j.insmatheco.2012.02.006
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    References listed on IDEAS

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    3. 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.
    4. Chi, Yichun & Tan, Ken Seng & Zhuang, Sheng Chao, 2020. "A Bowley solution with limited ceded risk for a monopolistic reinsurer," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 188-201.
    5. Christian Biener & Martin Eling, 2013. "Recent Research Developments Affecting Nonlife Insurance—The CAS Risk Premium Project 2012 Update," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 16(2), pages 219-231, September.
    6. Albrecher, Hansjörg & Cani, Arian, 2019. "On randomized reinsurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 67-78.
    7. Vincent, Léonard & Albrecher, Hansjörg & Krvavych, Yuriy, 2021. "Structured reinsurance deals with reference to relative market performance," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 125-139.
    8. Chi, Yichun, 2012. "Optimal reinsurance under variance related premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 310-321.

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    More about this item

    Keywords

    Coherent risk measures; Conditional tail expectation; Risk; Risk measures; Optimal reinsurance; Quantile risk measures; Truncated stop loss; Value at Risk;
    All these keywords.

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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