Cover Image

Decrease of capital guarantees in life insurance products: can reinsurance stop it?

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Escobar-Anel, Marcos, Havrylenko, Yevhen, Kschonnek, Michel, Zagst, Rudi
Format:	Preprint
Published:	2021
Subjects:	Mathematical Finance Portfolio Management Risk Management 91G10 (Primary), 91G20 (Secondary)
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer
by: Havrylenko, Yevhen, et al.
Published: (2022)

Value-at-Risk constrained portfolios in incomplete markets: a dynamic programming approach to Heston's model
by: Escobar-Anel, Marcos, et al.
Published: (2022)

Framework for asset-liability management with fixed-term securities
by: Havrylenko, Yevhen
Published: (2025)

The PEAL Method: a mathematical framework to streamline securitization structuring
by: Pinto, Andrea, et al.
Published: (2024)

Deep Hedging to Manage Tail Risk
by: Ma, Yuming
Published: (2025)

Optimal Investment in Equity and Credit Default Swaps in the Presence of Default
by: Fei, Zhe, et al.
Published: (2025)

Some properties of Euler capital allocation
by: Holden, Lars
Published: (2024)

Levy-stable scaling of risk and performance functionals
by: Vlasiuk, Dmitrii
Published: (2025)

Risk-aware Trading Portfolio Optimization
by: Bianchetti, Marco, et al.
Published: (2025)

Rethinking Portfolio Risk: Forecasting Volatility Through Cointegrated Asset Dynamics
by: Casto, Gabriele
Published: (2025)

Beyond Picking Winners: Correlation-Driven Tail Risk in Venture Capital Portfolio Construction
by: Liang, Yunqi, et al.
Published: (2026)

Robo-Advising in Motion: A Model Predictive Control Approach
by: Bielecki, Tomasz R., et al.
Published: (2026)

Robust Reinforcement Learning with Dynamic Distortion Risk Measures
by: Coache, Anthony, et al.
Published: (2024)

On the Expected Maximum Deficit and the Optimal Allocation of Reserves
by: Lefevre, Claude, et al.
Published: (2026)

Dynamic portfolio selection under generalized disappointment aversion
by: Liang, Zongxia, et al.
Published: (2024)

The lexical ratio: A new perspective on portfolio diversification
by: Mohseni, Sayyed Faraz, et al.
Published: (2024)

Pareto-optimal reinsurance under dependence uncertainty
by: Boonen, Tim J., et al.
Published: (2025)

Bifurcation in optimal retirement
by: Ashraf, Bushra Shehnam, et al.
Published: (2025)

Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion
by: Lamert, Kerstin, et al.
Published: (2023)

Accelerated Computations of Sensitivities for xVA
by: Deelstra, Griselda, et al.
Published: (2022)

Rank-Dependent Predictable Forward Performance Processes
by: Angoshtari, Bahman, et al.
Published: (2024)

From Classical Optimization to Bayesian Integration: A Comprehensive Analysis of Systematic Portfolio Management
by: Verma, Ajay Kumar, et al.
Published: (2026)

Impact of Climate transition on Credit portfolio's loss with stochastic collateral
by: Sopgoui, Lionel
Published: (2024)

Risk Aggregation and Allocation in the Presence of Systematic Risk via Stable Laws
by: Fleck, Andrew, et al.
Published: (2024)

Robust optimal consumption, investment and reinsurance for recursive preferences
by: Dadzie, Elizabeth, et al.
Published: (2025)

Asymptotic methods for transaction costs
by: Mayerhofer, Eberhard
Published: (2024)

Optimal risk mitigation by deep reinsurance
by: Arandjelović, Aleksandar, et al.
Published: (2024)

Schur Complementary Allocation: A Unification of Hierarchical Risk Parity and Minimum Variance Portfolios
by: Cotton, Peter
Published: (2024)

Robust Utility Optimization via a GAN Approach
by: Krach, Florian, et al.
Published: (2024)

MAD Risk Parity Portfolios
by: Ararat, Çağın, et al.
Published: (2021)

Replica del valor de un pool (CPM) y hedging de perdidas impermanentes
by: González, Agustín Muñoz, et al.
Published: (2024)

The Sherman-Morrison-Markowitz Portfolio
by: Pav, Steven E.
Published: (2026)

Bayesian optimal investment and reinsurance with dependent financial and insurance risks
by: Bäuerle, Nicole, et al.
Published: (2021)

The fundamental representation of pricing adjustments
by: Burnett, Benedict, et al.
Published: (2025)

On data-driven robust distortion risk measures for non-negative risks with partial information
by: Han, Xiangyu, et al.
Published: (2025)

A novel k-generation propagation model for cyber risk and its application to cyber insurance
by: Ren, Na, et al.
Published: (2024)

On Data-Driven Drawdown Control with Restart Mechanism in Trading
by: Hsieh, Chung-Han
Published: (2023)

Consistent asset modelling with random coefficients and switches between regimes
by: Wolf, Felix L., et al.
Published: (2024)

Sharp Large Deviations and Gibbs Conditioning for Threshold Models in Portfolio Credit Risk
by: Deng, Fengnan, et al.
Published: (2025)

Realized Local Volatility Surface
by: Ma, Yuming, et al.
Published: (2025)