VaR and CTE Based Optimal Reinsurance from a Reinsurer’s Perspective
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DOI: 10.1007/s10473-020-0619-2
Abstract: In this article, we study optimal reinsurance design. By employing the increasing convex functions as the admissible ceded loss functions and the distortion premium principle, we study and obtain the optimal reinsurance treaty by minimizing… read more here.
Keywords: premium principle; var cte; reinsurance; optimal reinsurance ... See more keywords
Optimal Reinsurance-Investment Strategy Under Risks of Interest Rate, Exchange Rate and Inflation
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DOI: 10.1007/s11009-018-9630-7
Abstract: In this paper, we pursue the optimal reinsurance-investment strategy of an insurer who can invest in both domestic and foreign markets. We assume that both the domestic and the foreign nominal interest rates are described… read more here.
Keywords: investment strategy; rate; reinsurance investment; strategy ... See more keywords
Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
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DOI: 10.1007/s12190-017-1119-y
Abstract: In this paper, we study the optimal reinsurance and investment problem in a financial market with jump-diffusion risky asset. It is assumed that the insurance risk model is modulated by a compound Poisson process, and… read more here.
Keywords: financial market; common shock; reinsurance investment; optimal reinsurance ... See more keywords
On optimal reinsurance treaties in cooperative game under heterogeneous beliefs
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DOI: 10.1016/j.insmatheco.2018.12.004
Abstract: Abstract In this paper, we study the optimal reinsurance policies as the result of a two-person cooperative game. We assume that both the insurer and the reinsurer are risk averse and expected-utility maximizers. In addition,… read more here.
Keywords: reinsurance; optimal reinsurance; cooperative game; reinsurance treaties ... See more keywords
Optimal reinsurance under the α-maxmin mean-variance criterion
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DOI: 10.1016/j.insmatheco.2021.08.004
Abstract: Abstract This paper studies an optimal reinsurance problem under the α-maximin mean-variance criterion proposed in Li et al. (2016) . We generalize ( Li et al., 2016 ) by considering a full range of ambiguity… read more here.
Keywords: ambiguity loving; mean variance; variance criterion; ambiguity ... See more keywords
ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER
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DOI: 10.1017/asb.2018.3
Abstract: Abstract This paper proposes a new continuous-time framework to analyze optimal reinsurance, in which an insurer and a reinsurer are two players of a stochastic Stackelberg differential game, i.e., a stochastic leader-follower differential game. This… read more here.
Keywords: insurer reinsurer; game; differential game; reinsurance ... See more keywords
A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints
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DOI: 10.1080/03461238.2016.1193558
Abstract: The design of optimal reinsurance treaties in the presence of multifarious practical constraints is a substantive but underdeveloped topic in modern risk management. To examine the influence of these constraints on the contract design systematically,… read more here.
Keywords: measure based; risk measure; reinsurance; optimal reinsurance ... See more keywords
Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
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DOI: 10.1080/03461238.2020.1788136
Abstract: In this paper, we determine the optimal reinsurance strategy to minimize the probability of drawdown, namely, the probability that the insurer's surplus process reaches some fixed fraction of its maximum value to date. We assume… read more here.
Keywords: probability drawdown; premium; variance premium; optimal reinsurance ... See more keywords