Reinsurance: Actuarial and Statistical Aspects provides a survey of both the academic
literature in the field as well as challenges appearing in reinsurance practice and puts the …

We address the problem of risk sharing among agents using a two-parameter class of
quantile-based risk measures, the so-called range-value-at-risk (RVaR), as their …

Tontines were once a popular type of mortality-linked investment pool. They promised
enormous rewards to the last survivors at the expense of those died early. While this design …

In this paper we investigate an optimal investment problem under loss aversion (S-shaped
utility) and with trading and Value-at-Risk (VaR) constraints faced by a defined contribution …

We test whether probability weighting affects household portfolio choice in a representative
survey. On average, people display inverse-S-shaped probability weighting, overweighting …

This paper studies the set of Pareto optimal insurance contracts and the core of an
insurance game. Our setting allows multiple insurers with translation invariant preferences …

This paper studies the optimal dynamic reinsurance policy for an insurance company whose
surplus is modeled by the diffusion approximation of the classical Cramér–Lundberg model …

Abstract Bernard, He, Yan, and Zhou (Mathematical Finance, 25 (1), 154–186) studied an
optimal insurance design problem where an individual's preference is of the rank …

In this paper, we study Pareto optimality of reinsurance arrangements under general model
settings. We give the necessary and sufficient conditions for a reinsurance contract to be …

We study a generalization of the classical monopoly insurance problem under adverse
selection (see Stiglitz 1977) where we allow for a random distribution of losses, possibly …