Optimal Reinsurance Arrangements Under Tail Risk Measures

By Carole Bernard, Weidong Tian. 2009

129 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/1fb0dfcbd67e0dc1f37795a05bc72e002323702e

How researchers see this paper

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

In Demography

1. Jun Cai
2. Yichun Chi
3. Zhibin Liang
4. Minghe Zhou
5. Kam Chuen Yuen
6. Haiyan Liu
7. Yi Zhang
8. Chengguo Weng

In Economics and Econometrics

1. Yichun Chi
2. Jun Cai
3. Ken Seng Tan
4. Chengguo Weng
5. Yi Zhang
6. Zhibin Liang
7. Kam Chuen Yuen
8. Haiyan Liu

In Management Science and Operations Research

1. Yichun Chi
2. Jun Cai
3. Ken Seng Tan
4. Chengguo Weng
5. Yi Zhang
6. Zhibin Liang
7. Kam Chuen Yuen
8. Minghe Zhou

Citations in the corpus

• Pareto-Optimal Reinsurance Arrangements Under General Model Settings (2017, methodology): “Chi and Tan (2011), Bernard and Tian (2009), Cui et al. (2013), Cheung et al. (2014), Cheung and Lo (2015), and Lo (2017b) for minimization of Value-at-Risk (VaR) / Tail-Value-at-Risk (TVaR), tail risk measures, general distortion risk measures, general law-invariant convex risk measures, and insure”
• Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles (2013, unknown): “1, when μr(f(X)) ≤ π the ceded function f∗(x) is one optimal solution of the optimization problem (4).”
• Optimal Reinsurance with General Premium Principles (2013, unknown): “Since the groundbreaking work by Borch (1960), the study of optimal reinsurance has drawn significant interest from both practicing actuaries and academics. From a practical point of view, reinsurance is an effective risk management tool for the insurers and hence they are constantly seeking for bet”
• Optimality of general reinsurance contracts under CTE risk measure (2011, background): “In particular, Bernard and Tian (2009) analyzed the optimal reinsurance contracts under two tail risk measures: a VaR-like risk measure (the probability for the underlying loss to exceed a given threshold) and a CTE-like risk measure (the expected loss over a given threshold); see Remark 2.2 for…”
• Optimal proportional reinsurance with common shock dependence (2015, background): “…and Guo (2008) focus on constructing optimal contracts that maximize the adjustment coefficient by the martingale approach; and Cai and Tan (2007), Bernard and Tian (2009), Chi and Meng (2014), and Cheung et al. (2014) investigate the optimal problem by adopting the criteria of minimizing tail…”
• Optimal reinsurance designs based on risk measures: a review (2020, background): “Such a truncated stop-loss policy has been identified as an optimal solution in some optimal reinsurance problems studied by Kaluszka and Okolewski (2008) and Bernard and Tian (2009).”
• Optimal dynamic reinsurance with dependent risks: variance premium principle (2016, background): “Moreover, Cai & Tan (2007), Cai et al. (2008), and Bernard & Tian (2009) adopt the criteria of minimizing tail risk measures such as value at risk and conditional tail expectation.”