Optimal reinsurance under mean-variance premium principles

By Marek Kaluszka. 2001

187 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/eafbd2e0d79e879809f6a9217d6c833b56bff4e2

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In Demography

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Citations in the corpus

On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums (2014, unknown): “stop-loss policy is an optimal reinsurance contract for the ceding company when the risk is measured by variance (or by a utility function). Recent extensions of the same problem have been studied in Kaluszka (2001), Young (1999), Okolewski and Kaluszka (2008). ∗Institute for Financial and Actuarial”
Optimal Reinsurance Revisited – A Geometric Approach (2010, background): “KEYWORDS Value-at-risk, conditional tail expectation, reinsurance, expectation premium principle, comonotonicity, Wang’s premium principle, increasing convex function.”
Optimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles (2013, unknown): “is one optimal solution; (b) For VaR-optimization problem (17), if μr(f W,V aR(X)) ≤ π, then f∗ W,V aR(x) is one optimal solution.”
Optimal Reinsurance with General Premium Principles (2013, unknown): “where the first equality is derived by the proof of Theorem 22 in Kaluszka (2005) and the second equality is implied by (2.”
Optimal reinsurance programs: An optimal combination of several reinsurance protections on a heterogeneous insurance portfolio (2003, methodology): “Exceptions are Centeno (1985, 2002), Kaluszka (2001) and Schmitter (2001) who consider optimal solutions for a quota share - excess of loss combination.”
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.”
Optimal proportional reinsurance with common shock dependence (2015, background): “…Browne (1995), Schmidli (2001, 2002), Promislow and Young (2005), and Bai et al. (2013) derive optimal strategies that minimize ruin probability; Kaluszka (2001, 2004) examine the optimal reinsurance problem under various mean-variance premium principles; Centeno (1986, 2002), Hald and Schmidli…”
Optimal reinsurance with general risk measures (2009, unknown): “For example, Kaluszka (2001) still takes the variance of the retained loss as the risk function to be minimized, but he considers other premium principles such as the standard deviation principle and the variance principle.”
Optimal dynamic reinsurance with dependent risks: variance premium principle (2016, background): “Kaluszka (2001, 2004) study the optimal reinsurance problem under various mean-variance premium principles of the reinsurer.”
Optimal Reinsurance under VaR and CVaR Risk Measures: A Simplified Approach (2010, unknown): “Just to name a few, Kaluszka (2001) extends Borch (1960)'s result by considering mean-variance premium principles including the standard deviation principle and the variance principle.”
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.”