Decentralized insurance can be used to describe risk sharing mechanisms under which
participants trade risks among each other as opposed to passing risks mostly to an insurer in …

This article investigates optimal reinsurance treaties minimizing an insurer's risk-adjusted
liability, which encompasses a risk margin quantified by distortion risk measures. Via the …

We re-visit the problem of optimal insurance design under Rank-Dependent Expected Utility
(RDEU) examined by Bernard et al.(2015), Xu (2018), and Xu et al.(2018). Unlike the latter …

We systematically study pairwise counter-monotonicity, an extremal notion of negative
dependence. A stochastic representation and an invariance property are established for this …

The design of optimal reinsurance treaties in the presence of multifarious practical
constraints is a substantive but underdeveloped topic in modern risk management. To …

The literature on optimal insurance typically considers optimal risk sharing between one
insurer (or reinsurer) and one insurance prospect. However, the insurance business is …

We bring the recently developed framework of dependence uncertainty into collective risk
models, one of the most classic models in actuarial science. We study the worst-case values …

In both the past literature and industrial practice, it was often implicitly used without any
justification that the classical strong law of large numbers applies to the modeling of equity …

Mutual exclusivity is an extreme negative dependence structure that was first proposed and
studied in Dhaene and Denuit (1999) in the context of insurance risks. In this article, we …

Fréchet–Hoeffding upper and lower bounds play an important role in various bivariate
optimization problems because they are the maximum and minimum of bivariate copulas in …