Optimal risk transfer under quantile-based risk measurers
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DOI: 10.1016/j.insmatheco.2013.05.005
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- Meng, Hui & Li, Shuanming & Jin, Zhuo, 2015. "A reinsurance game between two insurance companies with nonlinear risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 91-97.
- Liyuan Lin & Fangda Liu & Jingzhen Liu abd Luyang Yu, 2023. "The optimal reinsurance strategy with price-competition between two reinsurers," Papers 2305.00509, arXiv.org.
- Matteo Crisafulli, 2024. "A Solvency II Partial Internal Model Considering Reinsurance and Counterparty Default Risk," JRFM, MDPI, vol. 17(4), pages 1-34, April.
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- Reichel, Lukas & Schmeiser, Hato & Schreiber, Florian, 2022. "On the optimal management of counterparty risk in reinsurance contracts," Journal of Economic Behavior & Organization, Elsevier, vol. 201(C), pages 374-394.
- Cheung, Ka Chun & He, Wanting & Wang, He, 2023. "Multi-constrained optimal reinsurance model from the duality perspectives," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 199-214.
- 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.
- Payandeh Najafabadi, Amir T. & Bazaz, Ali Panahi, 2016. "An optimal co-reinsurance strategy," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 149-155.
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- Asimit, Alexandru V. & Badescu, Alexandru M. & Cheung, Ka Chun, 2013. "Optimal reinsurance in the presence of counterparty default risk," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 690-697.
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- Cao, Jingyi & Li, Dongchen & Young, Virginia R. & Zou, Bin, 2023. "Reinsurance games with two reinsurers: Tree versus chain," European Journal of Operational Research, Elsevier, vol. 310(2), pages 928-941.
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Keywords
Expected shortfall; Distorted risk measure; Premium principle; Optimal reinsurance; Truncated tail value-at-risk; Value-at-risk;All these keywords.
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