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Optimal reinsurance designs based on risk measures: a review

Citations

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Cited by:

  1. Tim J. Boonen & Yuyu Chen & Xia Han & Qiuqi Wang, 2024. "Optimal insurance design with Lambda-Value-at-Risk," Papers 2408.09799, arXiv.org, revised Aug 2025.
  2. Hirbod Assa & Peng Liu, 2024. "Factor risk measures," Papers 2404.08475, arXiv.org.
  3. Zongxia Liang & Zhaojie Ren & Bin Zou, 2025. "Optimal Reinsurance under Endogenous Default and Background Risk," Papers 2501.05672, arXiv.org, revised Feb 2026.
  4. Tang, Qihe & Tong, Zhiwei & Xun, Li, 2022. "Portfolio risk analysis of excess of loss reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 91-110.
  5. Benjamin Avanzi & Hayden Lau & Mogens Steffensen, 2022. "Optimal reinsurance design under solvency constraints," Papers 2203.16108, arXiv.org, revised Jun 2023.
  6. Cao, Jingyi & Li, Dongchen & Young, Virginia R. & Zou, Bin, 2025. "Co-opetition in reinsurance markets: When Pareto meets Stackelberg and Nash," Insurance: Mathematics and Economics, Elsevier, vol. 125(C).
  7. Qiuqi Wang & Ruodu Wang & Ricardas Zitikis, 2021. "Risk measures induced by efficient insurance contracts," Papers 2109.00314, arXiv.org, revised Sep 2021.
  8. Laura Ziani & Flavio Pressacco & Paolo Serafini, 2025. "Risk management through proportional reinsurance: an efficient computational approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 48(1), pages 127-152, June.
  9. Wang, Qiuqi & Wang, Ruodu & Zitikis, Ričardas, 2022. "Risk measures induced by efficient insurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 103(C), pages 56-65.
  10. Boonen, Tim J. & Jiang, Wenjun, 2025. "Distributionally robust insurance under the Wasserstein distance," Insurance: Mathematics and Economics, Elsevier, vol. 120(C), pages 61-78.
  11. Chi, Yichun & Liu, Fangda, 2021. "Enhancing an insurer's expected value by reinsurance and external financing," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 466-484.
  12. Tim J. Boonen & Kenneth Tsz Hin Ng & Tak Wa Ng & Thai Nguyen, 2026. "Pareto and Bowley Reinsurance Games in Peer-to-Peer Insurance," Papers 2602.14223, arXiv.org.
  13. George Woodman & Ruben S. Andrist & Thomas Haner & Damian S. Steiger & Martin J. A. Schuetz & Helmut G. Katzgraber & Marcin Detyniecki, 2025. "Modern Computational Methods in Reinsurance Optimization: From Simulated Annealing to Quantum Branch & Bound," Papers 2504.16530, arXiv.org, revised Apr 2025.
  14. Boonen, Tim J. & Chen, Yuyu & Han, Xia & Wang, Qiuqi, 2025. "Optimal insurance design with Lambda-Value-at-Risk," European Journal of Operational Research, Elsevier, vol. 327(1), pages 232-246.
  15. Boonen, Tim J. & Jiang, Wenjun, 2025. "Pareto-optimal insurance under robust distortion risk measures," European Journal of Operational Research, Elsevier, vol. 324(2), pages 690-705.
  16. Liang, Xiaoqing & Jiang, Wenjun & Zhang, Yiying, 2023. "Optimal insurance design under mean-variance preference with narrow framing," Insurance: Mathematics and Economics, Elsevier, vol. 112(C), pages 59-79.
  17. Zhuo Jin & Zuo Quan Xu & Bin Zou, 2023. "Optimal moral-hazard-free reinsurance under extended distortion premium principles," Papers 2304.08819, arXiv.org.
  18. Fadina, Tolulope & Hu, Junlei & Liu, Peng & Xia, Yi, 2025. "Optimal reinsurance with multivariate risks and dependence uncertainty," European Journal of Operational Research, Elsevier, vol. 321(1), pages 231-242.
  19. Shen, Yang & Zou, Bin, 2021. "Mean–variance investment and risk control strategies — A time-consistent approach via a forward auxiliary process," Insurance: Mathematics and Economics, Elsevier, vol. 97(C), pages 68-80.
  20. Zongxia Liang & Yi Xia & Bin Zou, 2024. "A Two-layer Stochastic Game Approach to Reinsurance Contracting and Competition," Papers 2405.06235, arXiv.org, revised Sep 2024.
  21. 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.
  22. Liang, Zongxia & Xia, Yi & Zou, Bin, 2024. "A two-layer stochastic game approach to reinsurance contracting and competition," Insurance: Mathematics and Economics, Elsevier, vol. 119(C), pages 226-237.
  23. Boonen, Tim J. & Han, Xia, 2024. "Optimal insurance with mean-deviation measures," Insurance: Mathematics and Economics, Elsevier, vol. 118(C), pages 1-24.
  24. Yang Shen & Bin Zou, 2021. "Mean-Variance Investment and Risk Control Strategies -- A Time-Consistent Approach via A Forward Auxiliary Process," Papers 2101.03954, arXiv.org.
  25. Jin, Yuanmin & Jin, Zhuo & Wei, Jiaqin, 2025. "Insurance contract for electric vehicle charging stations: A Stackelberg game-theoretic approach," Insurance: Mathematics and Economics, Elsevier, vol. 122(C), pages 61-81.
  26. Zang, Xin & Jiang, Fan & Xia, Chenxi & Yang, Jingping, 2024. "Random distortion risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 51-73.
  27. 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.
  28. Boonen, Tim J. & Jiang, Wenjun, 2024. "Robust insurance design with distortion risk measures," European Journal of Operational Research, Elsevier, vol. 316(2), pages 694-706.
  29. Li, Zixuan & Meng, Hui & Zhou, Ming, 2025. "Optimal insurance contract under mean-variance preference with value at risk constraint," Insurance: Mathematics and Economics, Elsevier, vol. 123(C).
  30. Jean-Gabriel Lauzier, 2021. "Insurance design and arson-type risks," Papers 2112.06817, arXiv.org.
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