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• W2080781888 abstract "The classical problem of identifying the optimal reinsurance arrangement for a one-period model is examined under some risk measure criteria. We develop a new methodology via a two-stage optimisation procedure which allows us to not only recover some existing results in the literature, but also makes possible the analysis of high dimensional problems in which the insurance company diversifies its risk with multiple reinsurance counter-parties, where the insurer risk position and the premium charged by the reinsurers are risk quantile functions. Closed form solutions are elaborated for some particular settings, although numerical methods for the second part of our procedure represent viable alternatives for the ease of implementing it in more complex scenarios. Furthermore, we discuss some approaches to obtain more robust results." @default.
• W2080781888 created "2016-06-24" @default.
• W2080781888 creator A5032088065 @default.
• W2080781888 creator A5073446726 @default.
• W2080781888 creator A5085208338 @default.
• W2080781888 date "2011-01-01" @default.
• W2080781888 modified "2023-09-28" @default.
• W2080781888 title "Optimal Risk Transfer with Multiple Reinsurers" @default.
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• W2080781888 doi "https://doi.org/10.2139/ssrn.1993084" @default.
• W2080781888 hasPublicationYear "2011" @default.
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