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Optimal reinsurance under general risk measures

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  • Gajek, Leslaw
  • Zagrodny, Dariusz

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  • Gajek, Leslaw & Zagrodny, Dariusz, 2004. "Optimal reinsurance under general risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 227-240, April.
    • Handle: RePEc:eee:insuma:v:34:y:2004:i:2:p:227-240
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    References listed on IDEAS

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    1. Kaluszka, Marek, 2001. "Optimal reinsurance under mean-variance premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 28(1), pages 61-67, February.
    2. Wang, Shaun S. & Young, Virginia R. & Panjer, Harry H., 1997. "Axiomatic characterization of insurance prices," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 173-183, November.
    3. Shaun Wang, 1998. "An Actuarial Index of the Right-Tail Risk," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(2), pages 88-101.
    4. Deprez, Olivier & Gerber, Hans U., 1985. "On convex principles of premium calculation," Insurance: Mathematics and Economics, Elsevier, vol. 4(3), pages 179-189, July.
    5. Gajek, Leslaw & Zagrodny, Dariusz, 2000. "Insurer's optimal reinsurance strategies," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 105-112, August.
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    Cited by:

    1. Fabio Baione & Paolo De Angelis & Massimiliano Menzietti & Agostino Tripodi, 2017. "A comparison of risk transfer strategies for a portfolio of life annuities based on RORAC," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(10), pages 1875-1892, July.
    2. Lu, ZhiYi & Meng, LiLi & Wang, Yujin & Shen, Qingjie, 2016. "Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer’s risk limit," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 92-100.
    3. Nicole Bauerle & Tomer Shushi, 2019. "Risk Management with Tail Quasi-Linear Means," Papers 1902.06941, arXiv.org, revised Jan 2020.
    4. Jianfa Cong & Ken Tan, 2016. "Optimal VaR-based risk management with reinsurance," Annals of Operations Research, Springer, vol. 237(1), pages 177-202, February.
    5. Kaluszka, Marek, 2004. "An extension of Arrow's result on optimality of a stop loss contract," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 527-536, December.
    6. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2011. "Stable solutions for optimal reinsurance problems involving risk measures," European Journal of Operational Research, Elsevier, vol. 214(3), pages 796-804, November.
    7. Chi, Yichun & Liu, Fangda, 2017. "Optimal insurance design in the presence of exclusion clauses," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 185-195.
    8. Balbás, Beatriz & Heras, Antonio, 2010. "Stability of the optimal reinsurance with respect to the risk measure," DEE - Working Papers. Business Economics. WB wb100201, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    9. Jianfa Cong & Ken Seng Tan, 2016. "Optimal VaR-based risk management with reinsurance," Annals of Operations Research, Springer, vol. 237(1), pages 177-202, February.
    10. Cai, Jun & Tan, Ken Seng & Weng, Chengguo & Zhang, Yi, 2008. "Optimal reinsurance under VaR and CTE risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 185-196, August.
    11. Tan, Ken Seng & Weng, Chengguo & Zhang, Yi, 2011. "Optimality of general reinsurance contracts under CTE risk measure," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 175-187, September.
    12. Cui, Wei & Yang, Jingping & Wu, Lan, 2013. "Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 74-85.
    13. Mi Chen & Wenyuan Wang & Ruixing Ming, 2016. "Optimal Reinsurance Under General Law-Invariant Convex Risk Measure and TVaR Premium Principle," Risks, MDPI, vol. 4(4), pages 1-12, December.
    14. Sun, Haoze & Weng, Chengguo & Zhang, Yi, 2017. "Optimal multivariate quota-share reinsurance: A nonparametric mean-CVaR framework," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 197-214.
    15. Chi, Yichun & Tan, Ken Seng, 2013. "Optimal reinsurance with general premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 180-189.
    16. Zhou, Chunyang & Wu, Chongfeng, 2008. "Optimal insurance under the insurer's risk constraint," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 992-999, June.
    17. Dimitrova, Dimitrina S. & Kaishev, Vladimir K., 2010. "Optimal joint survival reinsurance: An efficient frontier approach," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 27-35, August.
    18. Zhou, Chunyang & Wu, Chongfeng & Zhang, Shengping & Huang, Xuejun, 2008. "An optimal insurance strategy for an individual under an intertemporal equilibrium," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 255-260, February.
    19. Ghossoub, Mario, 2019. "Budget-constrained optimal insurance without the nonnegativity constraint on indemnities," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 22-39.
    20. Alejandro Balbas & Beatriz Balbas & Raquel Balbas, 2013. "Optimal Reinsurance: A Risk Sharing Approach," Risks, MDPI, vol. 1(2), pages 1-12, August.
    21. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2009. "Optimal reinsurance with general risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 374-384, June.
    22. Albrecher, Hansjörg & Cani, Arian, 2019. "On randomized reinsurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 67-78.
    23. Yinzhi Wang & Erik B{o}lviken, 2019. "How much is optimal reinsurance degraded by error?," Papers 1912.04175, arXiv.org.
    24. Zheng, Yanting & Cui, Wei, 2014. "Optimal reinsurance with premium constraint under distortion risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 109-120.

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