Optimal reinsurance with a systemic surplus shock
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DOI: 10.1016/j.econlet.2024.112013
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References listed on IDEAS
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More about this item
Keywords
Reinsurance; Asset allocation; Systemic risk; Ruin probability;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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