Risk sharing in equity-linked insurance products: Stackelberg equilibrium
"Stackelberg game. The reinsurer is the leader in the game and maximizes its expected utility by selecting its optimal investment...
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Rechercher
9 mars 2022
Detection and treatment of outliers for multivariate robust loss reserving
"Traditional techniques for calculating outstanding claim liabilities such as the chain ladder are notoriously at risk of being distorted...
28 févr. 2022
The Evolution of Insurance Pricing
"The growing sophistication of insurance pricing, particularly for property-casualty insurance and reinsurance risk, has created a...
18 févr. 2022
Distributionally Robust Reinsurance with Value-at-Risk and Conditional Value-at-Risk
"Our model handles typical stop-loss reinsurance contracts. We show that a three-point distribution achieves the worst-case VaR of the...
1 févr. 2022
Structure and Complexity of Global Insurance Groups
"We construct and analyze a novel dataset on the corporate structure of the top 100 global insurance groups with headquarters located in...
27 janv. 2022
Bowley vs. Pareto Optima in Reinsurance Contracting
"... we examine the relationship between Bowley optimality and Pareto efficiency in a problem of optimal reinsurance, under fairly...
27 janv. 2022
Multivariate matrix-exponential affine mixtures and their applications in risk theory
"... results are applied in a wide range of actuarial problems including multivariate risk measures, aggregate loss, large claims...
31 déc. 2021
Pareto-optimal Reinsurance Under Individual Risk Constraints
"This paper studies the design of Pareto-optimal reinsurance contracts in a market where the insurer and reinsurer maximize their...
21 déc. 2021
EIOPA sees environmental risks as top concern for re/insurers
“Bearing in mind that unprecedented fiscal measures amid accommodative monetary policies may have distorted regular risk assessment...
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