Optimal reinsurance under convex principles of premium calculation

By Marek Kaluszka. 2005

84 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/7ba4b9cdbaef44e01a83bfe1f78d34416831325c

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Citations in the corpus

Optimal reinsurance with general risk measures (2009, unknown): “Young (1999) maximizes the expected utility of the final wealth under the distortion premium principle.2 Kaluszka (2005) studies reinsurance contracts with many convex premium principles (exponential, semi-deviation and semi-variance, Dutch, distortion, etc.).”
Optimal reinsurance under risk and uncertainty (2015, unknown): “Recent approaches are, amongst many others, Kaluszka (2005), Cai and Tan (2007) and Chi and Tan (2013).”
Optimal reinsurance under VaR and CTE risk measures (2008, background): “In a series of published papers, Kaluszka (2001, 2004a, 2004b, 2005) also makes important contributions to the optimal reinsurance models.”
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 minimizing the distortion risk measure under general reinsurance premium principles (2013, unknown): “(a) For VaR optimization problem (16), f∗ W,V aR(x) = x ∧ S−1 X (α) (20)”
VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance (2009, background): “Earlier contributions include Gerber (1979), Waters (1983), Pesonen (1984), Goovaerts et al. (1989, 1990), Borch (1990), and Hesselager (1990) and more recently Gajek and Zagrodny (2000, 2004), Kaluszka (2001, 2005), Cai and Tan (2007), and Cai et al. (2008), among others.”
Optimal Reinsurance with General Premium Principles (2013, unknown): “…according to the definition of the Wang’s premium principle (4.2), we have πw(f(X)) = (1 + ρ) ∫ 1 0 V aRx(f(X))g(dx) = (1 + ρ) ∫ 1 0 f(V aRx(X))g(dx), ∀f ∈ C , (4.12) where the first equality is derived by the proof of Theorem 22 in Kaluszka (2005) and the second equality is implied by (2.8).”