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Optimal reinsurance and stop-loss order

Citations

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Cited by:

  1. Denuit, Michel & Trufin, Julien, 2015. "Model points and Tail-VaR in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 268-272.
  2. Albrecht, Peter & Huggenberger, Markus, 2017. "The fundamental theorem of mutual insurance," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 180-188.
  3. Manesh, Sirous Fathi & Khaledi, Baha-Eldin & Dhaene, Jan, 2016. "Optimal allocation of policy deductibles for exchangeable risks," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 87-92.
  4. Anthropelos, Michail & Boonen, Tim J., 2020. "Nash equilibria in optimal reinsurance bargaining," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 196-205.
  5. Denuit, Michel & Dhaene, Jan, 2012. "Convex order and comonotonic conditional mean risk sharing," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 265-270.
  6. Boonen, Tim J. & Ghossoub, Mario, 2019. "On the existence of a representative reinsurer under heterogeneous beliefs," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 209-225.
  7. Boonen, Tim J. & Tan, Ken Seng & Zhuang, Sheng Chao, 2016. "The role of a representative reinsurer in optimal reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 196-204.
  8. Tim J. Boonen, 2016. "Optimal Reinsurance with Heterogeneous Reference Probabilities," Risks, MDPI, vol. 4(3), pages 1-11, July.
  9. Yuanying Guan & Muqiao Huang & Ruodu Wang, 2024. "A new characterization of second-order stochastic dominance," Papers 2402.13355, arXiv.org, revised Sep 2024.
  10. Boonen, Tim J. & Tan, Ken Seng & Zhuang, Sheng Chao, 2021. "Optimal reinsurance with multiple reinsurers: Competitive pricing and coalition stability," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 302-319.
  11. Ghossoub, Mario & Zhu, Michael B., 2024. "Stackelberg equilibria with multiple policyholders," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 189-201.
  12. Boonen, Tim J., 2019. "Equilibrium recoveries in insurance markets with limited liability," Journal of Mathematical Economics, Elsevier, vol. 85(C), pages 38-45.
  13. Muhsin Tamturk & Sergey Utev, 2019. "Optimal Reinsurance via Dirac-Feynman Approach," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 647-659, June.
  14. Lu, Zhiyi & Meng, Shengwang & Liu, Leping & Han, Ziqi, 2018. "Optimal insurance design under background risk with dependence," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 15-28.
  15. 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.
  16. Boonen, Tim J., 2016. "Nash equilibria of Over-The-Counter bargaining for insurance risk redistributions: The role of a regulator," European Journal of Operational Research, Elsevier, vol. 250(3), pages 955-965.
  17. Georg Ch. Pflug & Alois Pichler, 2018. "Systemic risk and copula models," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 26(2), pages 465-483, June.
  18. Cai, Jun & Wei, Wei, 2012. "Optimal reinsurance with positively dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 57-63.
  19. Elroi Hadad & Tomer Shushi & Rami Yosef, 2023. "Measuring Systemic Governmental Reinsurance Risks of Extreme Risk Events," Risks, MDPI, vol. 11(3), pages 1-11, February.
  20. Ghossoub, Mario, 2019. "Budget-constrained optimal insurance without the nonnegativity constraint on indemnities," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 22-39.
  21. Denuit, Michel, 2008. "Comonotonic approximations to quantiles of life annuity conditional expected present value," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 831-838, April.
  22. Roberto Fontana & Patrizia Semeraro, 2023. "Measuring distribution risk in discrete models," Papers 2302.08838, arXiv.org.
  23. Hu, Xiang & Yang, Hailiang & Zhang, Lianzeng, 2015. "Optimal retention for a stop-loss reinsurance with incomplete information," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 15-21.
  24. Cheung, Ka Chun & Dhaene, Jan & Lo, Ambrose & Tang, Qihe, 2014. "Reducing risk by merging counter-monotonic risks," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 58-65.
  25. Bernard, Carole & Liu, Fangda & Vanduffel, Steven, 2020. "Optimal insurance in the presence of multiple policyholders," Journal of Economic Behavior & Organization, Elsevier, vol. 180(C), pages 638-656.
  26. Zhu, Yunzhou & Chi, Yichun & Weng, Chengguo, 2014. "Multivariate reinsurance designs for minimizing an insurer’s capital requirement," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 144-155.
  27. Cheung, Ka Chun & Yam, Sheung Chi Phillip & Zhang, Yiying, 2019. "Risk-adjusted Bowley reinsurance under distorted probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 64-72.
  28. Boonen, Tim J. & Ghossoub, Mario, 2021. "Optimal reinsurance with multiple reinsurers: Distortion risk measures, distortion premium principles, and heterogeneous beliefs," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 23-37.
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