VaR and CTE Based Optimal Reinsurance from a Reinsurer’s Perspective
Sign Up to like & getrecommendations! Published in 2020 at "Acta Mathematica Scientia"
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 and Investment Strategy for an Insurer in a Model with Delay and Jumps
Sign Up to like & getrecommendations! Published in 2019 at "Methodology and Computing in Applied Probability"
DOI: 10.1007/s11009-019-09734-4
Abstract: This paper studies an optimal excess-of-loss reinsurance and investment problem in a model with delay and jumps for an insurer, who can purchase excess-of-loss reinsurance and invest his surplus in a risk-free asset and a… read more here.
Keywords: reinsurance; insurer; reinsurance investment; model ... See more keywords
Time-consistent proportional reinsurance and investment strategies under ambiguous environment
Sign Up to like & getrecommendations! Published in 2018 at "Insurance: Mathematics and Economics"
DOI: 10.1016/j.insmatheco.2018.09.007
Abstract: In this paper, we study the equilibrium proportional reinsurance and investment strategies for an insurer in an environment with parameter uncertainties. The insurer can buy proportional reinsurance business to hedge its insurance risks. However, the… read more here.
Keywords: time consistent; proportional reinsurance; investment strategies; reinsurance investment ... See more keywords
On optimal reinsurance treaties in cooperative game under heterogeneous beliefs
Sign Up to like & getrecommendations! Published in 2019 at "Insurance: Mathematics and Economics"
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 proportional reinsurance and investment for stochastic factor models
Sign Up to like & getrecommendations! Published in 2019 at "Insurance: Mathematics and Economics"
DOI: 10.1016/j.insmatheco.2019.03.006
Abstract: In this work we investigate the optimal proportional reinsurance-investment strategy of an insurance company which wishes to maximize the expected exponential utility of its terminal wealth in a finite time horizon. Our goal is to… read more here.
Keywords: reinsurance; optimal proportional; proportional reinsurance; reinsurance investment ... See more keywords
Optimal reinsurance under the α-maxmin mean-variance criterion
Sign Up to like & getrecommendations! Published in 2021 at "Insurance: Mathematics and Economics"
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
Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Mathematical Analysis and Applications"
DOI: 10.1016/j.jmaa.2016.09.053
Abstract: Abstract This paper considers a robust optimal investment and reinsurance problem under model ambiguity and default risk for an insurer, who can trade in a saving account, a stock and a defaultable bond and aims… read more here.
Keywords: insurer; default; robust optimal; optimal investment ... See more keywords
Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump–diffusion models
Sign Up to like & getrecommendations! Published in 2019 at "Nonlinear Analysis: Hybrid Systems"
DOI: 10.1016/j.nahs.2019.01.002
Abstract: This work develops an approximation procedure for a class of non-zero-sum stochastic differential investment and reinsurance games between two insurance companies. Both proportional reinsurance and excess-of loss reinsurance policies are considered. We develop numerical algorithms… read more here.
Keywords: reinsurance; non zero; reinsurance games; class non ... See more keywords
ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER
Sign Up to like & getrecommendations! Published in 2018 at "ASTIN Bulletin"
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
Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance
Sign Up to like & getrecommendations! Published in 2022 at "Journal of Applied Probability"
DOI: 10.1017/jpr.2021.68
Abstract: Abstract A diffusion approximation to a risk process under dynamic proportional reinsurance is considered. The goal is to minimise the discounted time in drawdown; that is, the time where the distance of the present surplus… read more here.
Keywords: optimal discounted; diffusion approximation; reinsurance; proportional reinsurance ... See more keywords
A unifying approach to risk-measure-based optimal reinsurance problems with practical constraints
Sign Up to like & getrecommendations! Published in 2017 at "Scandinavian Actuarial Journal"
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