An Analysis of Reinsurance Optimisation in Life
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References listed on IDEAS
- J. David Cummins & Georges Dionne & Robert Gagné & Abdelhakim Nouira, 2008. "The Costs and Benefits of Reinsurance," Cahiers de recherche 08-04, HEC Montréal, Institut d'économie appliquée.
- Krvavych, Yuriy & Sherris, Michael, 2006. "Enhancing insurer value through reinsurance optimization," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 495-517, June.
- Verlaak, Robert & Beirlant, Jan, 2003. "Optimal reinsurance programs: An optimal combination of several reinsurance protections on a heterogeneous insurance portfolio," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 381-403, October.
- Prakash Shimpi, 2002. "Integrating Risk Management And Capital Management," Journal of Applied Corporate Finance, Morgan Stanley, vol. 14(4), pages 27-40.
More about this item
KeywordsLife insurance; optimal reinsurance; proportional reinsurance; mean-variance criteria;
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- L21 - Industrial Organization - - Firm Objectives, Organization, and Behavior - - - Business Objectives of the Firm
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-06-25 (All new papers)
- NEP-IAS-2012-06-25 (Insurance Economics)
- NEP-RMG-2012-06-25 (Risk Management)
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