Optimal Reinsurance: A Risk Sharing Approach
This paper proposes risk sharing strategies, which allow insurers to cooperate and diversify non-systemic risk. We deal with both deviation measures and coherent risk measures and provide general mathematical methods applying to optimize them all. Numerical examples are given in order to illustrate...
Main Authors: | , , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2013-08-01
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Series: | Risks |
Subjects: | |
Online Access: | http://www.mdpi.com/2227-9091/1/2/45 |