Portfolio risk analysis of excess of loss reinsurance

Author:

Tang QiheORCID,Tong Zhiwei,Xun LiORCID

Funder

National Natural Science Foundation of China

Australian Government

Australian Research Council

University of New South Wales

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference23 articles.

1. Reinsurance: Actuarial and Statistical Aspects;Albrecher,2017

2. Pareto Distributions;Arnold,2015

3. Portfolio credit risk with extremal dependence: Asymptotic analysis and efficient simulation;Bassamboo;Operations Research,2008

4. Bowley reinsurance with asymmetric information on the insurer's risk preferences;Boonen;Scandinavian Actuarial Journal,2021

5. Optimal reinsurance designs based on risk measures: A review;Cai;Statistical Theory and Related Fields,2020

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