2011
DOI: 10.1016/j.ejor.2011.05.035
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Stable solutions for optimal reinsurance problems involving risk measures

Abstract: a b s t r a c tThe optimal reinsurance problem is a classic topic in actuarial mathematics. Recent approaches consider a coherent or expectation bounded risk measure and minimize the global risk of the ceding company under adequate constraints. However, there is no consensus about the risk measure that the insurer must use, since every risk measure presents advantages and shortcomings when compared with others.This paper deals with a discrete probability space and analyzes the stability of the optimal reinsura… Show more

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Cited by 34 publications
(13 citation statements)
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“…Further details may be also found in Balbás et al [8,17]. Under the framework above, we can consider the risk of the j th −company, given by:…”
Section: Preliminaries and Notationsmentioning
confidence: 99%
See 3 more Smart Citations
“…Further details may be also found in Balbás et al [8,17]. Under the framework above, we can consider the risk of the j th −company, given by:…”
Section: Preliminaries and Notationsmentioning
confidence: 99%
“…being the decision variable and (13,13,13,13,1012) . Solving this problem with standard linear optimization methods and using Conditions (17), we get the optimal allocation:…”
Section: Numerical Experimentsmentioning
confidence: 99%
See 2 more Smart Citations
“…A common approach is to minimize some measure of the insurer risk after reinsurance (see e.g. [1,2,3,4,5,6,7,8]). Several optimization problems have been considered using different kinds of reinsurance strategies, being the proportional, the excess of loss and the stop-loss the most well-known (see [9] and the references therein).…”
Section: Introductionmentioning
confidence: 99%