OPTIMAL MEAN–VARIANCE REINSURANCE WITH COMMON SHOCK DEPENDENCE

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Optimal reinsurance with multiple tranches

Motivated by common practices in the reinsurance industry and in insurance markets such as Lloyd’s, we study the general problem of optimal insurance contracts design in the presence of multiple insurance providers. We show that the optimal risk allocation rule is characterized by a hierarchical structure of risk sharing where all agents take on risks only above the endogenously determined thre...

متن کامل

Optimal Reinsurance with Heterogeneous Reference Probabilities

Abstract: This paper studies the problem of optimal reinsurance contract design. We let the insurer use dual utility, and the premium is an extendedWang’s premium principle. The novel contribution is that we allow for heterogeneity in the beliefs regarding the underlying probability distribution. We characterize layer-reinsurance as an optimal reinsurance contract. Moreover, we characterize lay...

متن کامل

Optimal VaR-based risk management with reinsurance

It is well-known that reinsurance can be an effective risk management solution for financial institutions such as the insurance companies. The optimal reinsurance solution depends on a number of factors including the criterion of optimization and the premium principle adopted by the reinsurer. In this paper, we analyze the Value-at-Risk (VaR) based optimal risk management solution using reinsur...

متن کامل

Optimal dynamic XL reinsurance

We consider a risk process modelled as a compound Poisson process. We find the optimal dynamic unlimited excess of loss reinsurance strategy to minimize infinite time ruin probability, and prove the existence of a smooth solution of the corresponding HamiltonJacobi-Bellman equation as well as a verification theorem. Numerical examples with exponential, shifted exponential, and Pareto claims are...

متن کامل

On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums

In this paper, we consider the problem of optimal reinsurance design, when the risk is measured by a distortion risk measure and the premium is given by a distortion risk premium. First, we show how the optimal reinsurance design for the ceding company, the reinsurance company and the social planner can be formulated in the same way. Second, by introducing the “marginal indemnification function...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: The ANZIAM Journal

سال: 2016

ISSN: 1446-1811,1446-8735

DOI: 10.1017/s144618111600016x