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Statistical Theory and Related Fields Volume 4, 2020 - Issue 1
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Review Article

Optimal reinsurance designs based on risk measures: a review

Jun Caia Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, CanadaView further author information
&
Yichun Chib China Institute for Actuarial Science, Central University of Finance and Economics, Beijing, People's Republic of ChinaCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0001-9272-6471View further author information
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Pages 1-13 | Received 12 Aug 2019, Accepted 17 Apr 2020, Published online: 29 Apr 2020

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Read on this site (2)

Yinzhi Wang & Erik Bølviken. (2022) How Much Is Optimal Reinsurance Degraded by Error?. North American Actuarial Journal 26:2, pages 283-297.
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Tim J. Boonen. (2020) A discussion of ‘optimal reinsurance designs based on risk measures: a review’. Statistical Theory and Related Fields 4:1, pages 14-15.
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Articles from other publishers (17)

Jingyi Cao, Dongchen Li, Virginia R. Young & Bin Zou. (2023) Reinsurance games with two reinsurers: Tree versus chain. European Journal of Operational Research 310:2, pages 928-941.
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Jiandong Zhang, Rongfang Yan & Yiying Zhang. (2023) Stochastic comparisons of largest claim amount from heterogeneous and dependent insurance portfolios. Journal of Computational and Applied Mathematics 431, pages 115265.
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Xiaoqing Liang, Wenjun Jiang & Yiying Zhang. (2023) Optimal insurance design under mean-variance preference with narrow framing. Insurance: Mathematics and Economics 112, pages 59-79.
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Jingyi Cao, Dongchen Li, Virginia R. Young & Bin Zou. (2023) Reinsurance games with variance-premium reinsurers: from tree to chain. ASTIN Bulletin, pages 1-23.
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Elroi Hadad, Tomer Shushi & Rami Yosef. (2023) Measuring Systemic Governmental Reinsurance Risks of Extreme Risk Events. Risks 11:3, pages 50.
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Peng Liu. (2023) Risk Sharing With Lambda Value at Risk. SSRN Electronic Journal.
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Tolulope Fadina, Junlei Hu, Peng Liu & Yi Xia. (2023) Optimal Reinsurance with Multivariate Risks and Dependence Uncertainty. SSRN Electronic Journal.
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Xinqiao Xie, Haiyan Liu, Tiantian Mao & Xiao Bai Zhu. (2023) Distributionally robust reinsurance with expectile. ASTIN Bulletin 53:1, pages 129-148.
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Ralf Korn & Lukas Müller. (2022) Optimal dynamic reinsurance with worst-case default of the reinsurer. European Actuarial Journal 12:2, pages 879-885.
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Xiaoqing Liang, Ruodu Wang & Virginia R. Young. (2022) Optimal insurance to maximize RDEU under a distortion-deviation premium principle. Insurance: Mathematics and Economics 104, pages 35-59.
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Qiuqi Wang, Ruodu Wang & Ričardas Zitikis. (2022) Risk measures induced by efficient insurance contracts. Insurance: Mathematics and Economics 103, pages 56-65.
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Lin Xie, Danping Li, Linyi Qian, Lv Chen & Zhixin Yang. (2022) Optimal investment strategy for an insurer with partial information in capital and insurance markets. Journal of Industrial and Management Optimization 0:0, pages 0.
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Hui Meng, Pengyu Wei, Wanlu Zhang & Sheng Chao Zhuang. (2022) Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility. SIAM Journal on Financial Mathematics 13:3, pages 903-943.
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Qihe Tang, Zhiwei Tong & Li Xun. (2022) Portfolio risk analysis of excess of loss reinsurance. Insurance: Mathematics and Economics 102, pages 91-110.
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Yichun Chi & Fangda Liu. (2021) Enhancing an insurer's expected value by reinsurance and external financing. Insurance: Mathematics and Economics 101, pages 466-484.
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Léonard Vincent, Hansjörg Albrecher & Yuriy Krvavych. (2021) Structured reinsurance deals with reference to relative market performance. Insurance: Mathematics and Economics 101, pages 125-139.
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Yang Shen & Bin Zou. (2021) Mean–variance investment and risk control strategies — A time-consistent approach via a forward auxiliary process. Insurance: Mathematics and Economics 97, pages 68-80.
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