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Optimal reinsurance with general risk measures
16 references·16 citing·34 second hopsampled
Optimal reinsurance with general risk measures (2008)Optimal reinsurance with general risk mea…Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures (2007)Optimal Retention for a Stop-…RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES (2006)RISK MEASURES AND CAPITAL REQ…Conditional value at risk and related linear programming models for portfolio optimization (2006)Conditional value at risk and…Minimizing CVaR and VaR for a portfolio of derivatives (2005)Minimizing CVaR and VaR for a…Generalized deviations in risk analysis (2005)Generalized deviations in ris…Dual Stochastic Dominance and Related Mean-Risk Models (2002)Dual Stochastic Dominance and…Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Value-at-Risk-Based Risk Mana…Pricing and hedging in incomplete markets (2001)Pricing and hedging in incomp…Optimal reinsurance under mean-variance premium principles (2001)Optimal reinsurance under mea…A Class of Distortion Operators for Pricing Financial and Insurance Risks (2000)A Class of Distortion Operato…From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)From stochastic dominance to …Coherent Measures of Risk (1999)Coherent Measures of RiskOn convex principles of premium calculation (1985)On convex principles of premi…An introduction to mathematical risk theory (1979)An introduction to mathematic…Mathematical Methods in Risk Theory. (1971)Mathematical Methods in Risk …Mathematical Methods in Risk Theory (1970)Mathematical Methods in Risk …Optimal reinsurance designs based on risk measures: a review (2020)Optimal reinsurance designs b…Risk-adjusted Bowley reinsurance under distorted probabilities (2019)Risk-adjusted Bowley reinsura…Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle (2019)Optimal dynamic reinsurance p…Robust reinsurance contracts with uncertainty about jump risk (2017)Robust reinsurance contracts …Robust and Pareto optimality of insurance contracts (2017)Robust and Pareto optimality …Optimal reinsurance with expectile (2015)Optimal reinsurance with expe…OPTIMAL REINSURANCE FROM THE PERSPECTIVES OF BOTH AN INSURER AND A REINSURER (2015)OPTIMAL REINSURANCE FROM THE …Marginal Indemnification Function formulation for optimal reinsurance (2015)Marginal Indemnification Func…Optimal reinsurance with regulatory initial capital and default risk (2014)Optimal reinsurance with regu…Optimal reinsurance under risk and uncertainty (2014)Optimal reinsurance under ris…Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles (2013)Optimal reinsurance minimizin…Optimal Reciprocal Reinsurance Treaties Under the Joint Survival Probability and the Joint Profitable Probability (2012)Optimal Reciprocal Reinsuranc…Optimality of general reinsurance contracts under CTE risk measure (2011)Optimality of general reinsur…Optimal Reinsurance with General Premium Principles (2011)Optimal Reinsurance with Gene…Optimal Reinsurance under Variance Related Premium Principles (2011)Optimal Reinsurance under Var…Optimal reinsurance under general law-invariant risk measures (2011)Optimal reinsurance under gen…Portfolio Selection (1952)PORTFOLIO SELECTION* (1952)Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Stochastic Programming Models (2003)Optimization of Convex Risk Functions (2006)The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)New Measures for Performance Evaluation (2008)RISK MEASURES ON ORLICZ HEARTS (2009)Optimization of conditional value-at-risk (2000)Risk-averse two-stage stochastic programming with an application to disaster management (2011)American Economic Review (2019)An Intertemporal Capital Asset Pricing Model (1973)The valuation of options for alternative stochastic processes (1976)Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (2006)Risk measures and comonotonicity (2006)Constructing Uncertainty Sets for Robust Linear Optimization (2009)Asset Prices in an Exchange Economy (1978)Testing Density Forecasts, With Applications to Risk Management (2001)How Accurate Are Value‐at‐Risk Models at Commercial Banks? 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References

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  • 1979An introduction to mathematical risk theory914 cited
  • 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices834 cited
  • 1970Mathematical Methods in Risk Theory718 cited
  • 2000A Class of Distortion Operators for Pricing Financial and Insurance Risks650 cited
  • 2005Generalized deviations in risk analysis572 cited
  • 1999From stochastic dominance to mean-risk models: Semideviations as risk measures532 cited
  • 2002Dual Stochastic Dominance and Related Mean-Risk Models496 cited
  • 1971Mathematical Methods in Risk Theory.494 cited
  • 2001Pricing and hedging in incomplete markets300 cited
  • 2007Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures274 cited
  • 2005Minimizing CVaR and VaR for a portfolio of derivatives243 cited
  • 2006Conditional value at risk and related linear programming models for portfolio optimization221 cited
  • 1985On convex principles of premium calculation191 cited
  • 2001Optimal reinsurance under mean-variance premium principles190 cited
  • 2006

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RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES
180 cited

Cited by

  • 2013Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles121 cited
  • 2011Optimal Reinsurance with General Premium Principles112 cited
  • 2015Marginal Indemnification Function formulation for optimal reinsurance104 cited
  • 2011Optimal reinsurance under general law-invariant risk measures86 cited
  • 2011Optimality of general reinsurance contracts under CTE risk measure80 cited
  • 2012Optimal Reciprocal Reinsurance Treaties Under the Joint Survival Probability and the Joint Profitable Probability76 cited
  • 2017Robust and Pareto optimality of insurance contracts74 cited
  • 2015OPTIMAL REINSURANCE FROM THE PERSPECTIVES OF BOTH AN INSURER AND A REINSURER72 cited
  • 2017Robust reinsurance contracts with uncertainty about jump risk62 cited
  • 2019Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle60 cited
  • 2014Optimal reinsurance under risk and uncertainty57 cited
  • 2020Optimal reinsurance designs based on risk measures: a review57 cited
  • 2015Optimal reinsurance with expectile52 cited
  • 2011Optimal Reinsurance under Variance Related Premium Principles52 cited
  • 2014Optimal reinsurance with regulatory initial capital and default risk47 cited
  • 2019Risk-adjusted Bowley reinsurance under distorted probabilities46 cited