Optimal reinsurance under general risk measures

By L. Gajek, Dariusz Zagrodny. 2004

80 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/0367275aaf9d87beb7dc7283b4dbd5b287e9f30c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

In Economics and Econometrics

In Management Science and Operations Research

Citations in the corpus

After VaR: The Theory, Estimation, and Insurance Applications of Quantile-Based Risk Measures (2006, unknown): “However, there has also been considerable progress made with these types of problems in an insurance setting, where a number of recent studies have looked at risk measures in optimal insurance, reinsurance and hedging contexts (see, e.g., Young, 1999; Gajek and Zagrodny, 2004; Kaluszka, 2005; Korn, ”
Optimal reinsurance with general risk measures (2009, unknown): “In addition, Gajec and Zagrodny (2004) consider more general symmetric and even asymmetric risk functions like the absolute deviation and the truncated variance of the retained loss, under the standard deviation premium principle.”
Optimal Reinsurance Arrangements Under Tail Risk Measures (2009, unknown): “considered by Gajek and Zagrodny (2004b). Even though they discover the same optimal shape, their construction of the optimal coverage is not explicit.”
Optimal reinsurance under VaR and CTE risk measures (2008, methodology): “o . ( 6 ) 41st Actuarial Research Conference, August 10-12, 2006, Montr´ eal, Canada First Previous Next Last 6”
Optimality of general reinsurance contracts under CTE risk measure (2011, background): “Other related contributions include Gajek and Zagrodny (2000, 2004), Promislow and Young (2005), Balbás et al. (2009) and the references therein.”
Optimal Reinsurance with General Premium Principles (2013, unknown): “Furthermore, such a premium principle has been used to study the optimal reinsurance problems by Young (1999), Kaluszka (2005) and Cheung (2010), among others.”
Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles (2013, unknown): “For the retained parts of loss in these layers, the insurer’s risk is measured by risk function g(SX(·)) and the last term of the righthand of (15) corresponds to this part; • Case three: {x : (1 + θ)r(SX(x)) − g(SX(x)) > 0, x ≥ 0}.”
Optimal reinsurance with expectile (2016, unknown): “See, for instance, Gajek & Zagrodny (2004), Huang (2006), Balbás et al. (2009), Young (1999), Cheung (2010), Asimit et al. (2013c), Chi & Meng (2013), Cheung et al. (2014b), and so on.”
VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance (2009, background): “Gajek and Zagrodny (2004) chose a general convex risk measure and showed that the change-loss contract, which is the combination of the stop-loss and the quota-share strategy, is the optimal contract in many cases.”