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
The Combined Stop-Loss and Quota-Share Reinsurance: Conditional Tail Expectation-Based Optimization from the Joint Perspective of Insurer and Reinsurer
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DOI: 10.3390/risks9070125
Abstract: In the presence of reinsurance, an insurer may effectively reduce its (aggregated) loss by partially ceding such a loss to a reinsurer. Stop-loss and quota-share reinsurance contracts are commonly agreed between these two parties. In… read more here.
Keywords: stop loss; reinsurance; insurer; loss ... See more keywords