A revisit of the optimal excess-of-loss contract
It is well-known that Excess-of-Loss reinsurance has more marketability than Stop-Loss
reinsurance, though Stop-Loss reinsurance is the most prominent setting discussed in the …
reinsurance, though Stop-Loss reinsurance is the most prominent setting discussed in the …
Robust reinsurance contracts with risk constraint
N Wang, TK Siu - Scandinavian Actuarial Journal, 2020 - Taylor & Francis
This paper aims to investigate optimal reinsurance contracts in a continuous-time modelling
framework from the perspective of a principal-agent problem. The reinsurer plays the role of …
framework from the perspective of a principal-agent problem. The reinsurer plays the role of …
An optimal reinsurance simulation model for non-life insurance in the Solvency II framework
A Zanotto, GP Clemente - European Actuarial Journal, 2022 - Springer
In this paper, we propose an approach to explore reinsurance optimization for a non-life
multi-line insurer through a simulation model that combines alternative reinsurance treaties …
multi-line insurer through a simulation model that combines alternative reinsurance treaties …
Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
This paper investigates a class of non-zero-sum stochastic differential investment and
reinsurance games between two insurance companies. We allow both insurers to purchase …
reinsurance games between two insurance companies. We allow both insurers to purchase …
On the economics of the longevity risk transfer market
M Börger, A Freimann, J Ruß - Journal of Risk and Insurance, 2023 - Wiley Online Library
We present a model of a longevity risk transfer market with different market players (primary
insurers, reinsurers, and capital market investors) and investigate how market dynamics and …
insurers, reinsurers, and capital market investors) and investigate how market dynamics and …
Optimal non-life reinsurance under Solvency II Regime
The optimal reinsurance contract is investigated from the perspective of an insurer who
would like to minimise its risk exposure under Solvency II. Under this regulatory framework …
would like to minimise its risk exposure under Solvency II. Under this regulatory framework …
Optimal risk transfer: a numerical optimization approach
Capital efficiency and asset/liability management are part of the Enterprise Risk
Management Process of any insurance/reinsurance conglomerate and serve as quantitative …
Management Process of any insurance/reinsurance conglomerate and serve as quantitative …
Modeling Risk for CVaR-Based Decisions in Risk Aggregation
Y Zinchenko, AV Asimit - Journal of Risk and Financial Management, 2023 - mdpi.com
Measuring the risk aggregation is an important exercise for any risk bearing carrier. It is not
restricted to evaluation of the known portfolio risk position only, and could include complying …
restricted to evaluation of the known portfolio risk position only, and could include complying …
Optimal risk-sharing across a network of insurance companies
N Ettlin, W Farkas, A Kull, A Smirnow - Insurance: Mathematics and …, 2020 - Elsevier
Risk transfer is a key risk and capital management tool for insurance companies.
Transferring risk between insurers is used to mitigate risk and manage capital requirements …
Transferring risk between insurers is used to mitigate risk and manage capital requirements …
Diversification and Solvency II: the capital effect of portfolio swaps on non-life insurers
Diversification plays a pivotal role under the risk-based capital regime of Solvency II. The
new rules reward large and well-diversified insurance companies with relatively low capital …
new rules reward large and well-diversified insurance companies with relatively low capital …