An Extension of Arrow's Result on Optimal Reinsurance Contract

By Marek Kaluszka, A. Okolewski. 2008

94 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/94270cca84ef6666c37ecd59f12d4cddb47a5656

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. Haiyan Liu
4. Ruodu Wang
5. W. Cui
6. Lan Wu
7. Jingping Yang
8. Carole Bernard

In Economics and Econometrics

1. Yichun Chi
2. Jun Cai
3. Haiyan Liu
4. Ruodu Wang
5. W. Cui
6. Lan Wu
7. Weidong Tian
8. Jingping Yang

In Management Science and Operations Research

1. Yichun Chi
2. Jun Cai
3. Ruodu Wang
4. Haiyan Liu
5. W. Cui
6. Lan Wu
7. Weidong Tian
8. Jingping Yang

Citations in the corpus

• Pareto-Optimal Reinsurance Arrangements Under General Model Settings (2017, background): “…tail risk measures, general distortion risk measures, general law-invariant convex risk measures, and insurer’s risk–adjusted liability, respectively, Kaluszka and Okolewski (2008) and Cai and Wei (2012) for maximization of the expected utility, and Bernard et al. (2015) for maximization of…”
• Optimal Reinsurance Arrangements Under Tail Risk Measures (2009, background): “The same minimal ruin probability problem is also studied in Kaluszka and Okolewski (2008) under different premium principles.”
• 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 Reinsurance with General Premium Principles (2013, unknown): “By imposing the assumption that the reinsurance premium is calculated according to the maximal possible claims principle, Kaluszka and Okolewski (2008) show that the limited stop-loss and the truncated stop-loss are the optimal contracts under a number of criteria including the maximization of the…”
• Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles (2013, methodology): “…strategy can also be investigated by using other methodology, see Arrow (1963), Young (1999) and Kaluszka (2008) for expected utility maximization reinsurance models, and Gajek (2004b), Kaluszka and Okolewski (2008) and Bernard and Tian (2009) for ruin probability minimization reinsurance models.”