Bowley vs. Pareto optima in reinsurance contracting
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DOI: 10.1016/j.ejor.2022.08.003
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References listed on IDEAS
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Citations
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Cited by:
- David Landriault & Bin Li & Hong Li & Yuanyuan Zhang, 2024. "Contract Structure and Risk Aversion in Longevity Risk Transfers," Papers 2409.08914, arXiv.org.
- Ernest Aboagye & Vali Asimit & Tsz Chai Fung & Liang Peng & Qiuqi Wang, 2024. "A Revisit of the Optimal Excess-of-Loss Contract," Papers 2405.00188, arXiv.org.
- David Landriault & Fangda Liu & Ziyue Shi, 2024. "Performance-based variable premium scheme and reinsurance design," Papers 2412.01704, arXiv.org.
- Zhuo Jin & Zuo Quan Xu & Bin Zou, 2023. "Optimal moral-hazard-free reinsurance under extended distortion premium principles," Papers 2304.08819, arXiv.org.
- Cao, Jingyi & Li, Dongchen & Young, Virginia R. & Zou, Bin, 2023. "Reinsurance games with two reinsurers: Tree versus chain," European Journal of Operational Research, Elsevier, vol. 310(2), pages 928-941.
- Zhang, Caibin & Liang, Zhibin & Yuan, Yu, 2024. "Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure," European Journal of Operational Research, Elsevier, vol. 315(1), pages 213-227.
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- Asimit, Vali & Boonen, Tim J., 2018. "Insurance with multiple insurers: A game-theoretic approach," European Journal of Operational Research, Elsevier, vol. 267(2), pages 778-790.
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More about this item
Keywords
Risk management; Optimal reinsurance; Pareto optimality; Bowley optimality; Convex risk measures;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- D86 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Economics of Contract Law
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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