Optimal insurance design with Lambda-Value-at-Risk
Fuente:
arXiv
Saved in:
| Main Authors: | Boonen, Tim J., Chen, Yuyu, Han, Xia, Wang, Qiuqi |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Lambda Expected Shortfall
by: Bellini, Fabio, et al.
Published: (2025)
by: Bellini, Fabio, et al.
Published: (2025)
Lambda Value-at-Risk under ambiguity and risk sharing
by: Liu, Peng, et al.
Published: (2025)
by: Liu, Peng, et al.
Published: (2025)
Monopoly Pricing of Weather Index Insurance
by: Boonen, Tim J., et al.
Published: (2025)
by: Boonen, Tim J., et al.
Published: (2025)
Cash-subadditive risk measures without quasi-convexity
by: Han, Xia, et al.
Published: (2021)
by: Han, Xia, et al.
Published: (2021)
Risk exchange under infinite-mean Pareto models
by: Chen, Yuyu, et al.
Published: (2024)
by: Chen, Yuyu, et al.
Published: (2024)
Fairness-Aware Insurance Pricing: A Multi-Objective Optimization Approach
by: Boonen, Tim J., et al.
Published: (2025)
by: Boonen, Tim J., et al.
Published: (2025)
Betting under Common Beliefs: The Effect of Probability Weighting
by: Beissner, Patrick, et al.
Published: (2026)
by: Beissner, Patrick, et al.
Published: (2026)
Pareto-optimal reinsurance under dependence uncertainty
by: Boonen, Tim J., et al.
Published: (2025)
by: Boonen, Tim J., et al.
Published: (2025)
Bertrand oligopoly in insurance markets with Value at Risk Constraints
by: Ágoston, Kolos Csaba, et al.
Published: (2024)
by: Ágoston, Kolos Csaba, et al.
Published: (2024)
Infinite-mean models in risk management: Discussions and recent advances
by: Chen, Yuyu, et al.
Published: (2024)
by: Chen, Yuyu, et al.
Published: (2024)
Optimal Insurance Menu Design under the Expected-Value Premium Principle
by: Han, Xia, et al.
Published: (2026)
by: Han, Xia, et al.
Published: (2026)
Lambda R{é}nyi entropic value-at-risk
by: Zou, Zhenfeng
Published: (2026)
by: Zou, Zhenfeng
Published: (2026)
E-backtesting
by: Wang, Qiuqi, et al.
Published: (2022)
by: Wang, Qiuqi, et al.
Published: (2022)
Risk aggregation and stochastic dominance for a class of heavy-tailed distributions
by: Chen, Yuyu, et al.
Published: (2024)
by: Chen, Yuyu, et al.
Published: (2024)
On the optimal design of a new class of proportional portfolio insurance strategies in a jump-diffusion framework
by: Colaneri, Katia, et al.
Published: (2024)
by: Colaneri, Katia, et al.
Published: (2024)
Optimal Systemic Risk Bailout: A PGO Approach Based on Neural Network
by: Xiao, Shuhua, et al.
Published: (2022)
by: Xiao, Shuhua, et al.
Published: (2022)
Valuing insurance against small probability risks: A meta-analysis
by: Mankaï, Selim, et al.
Published: (2024)
by: Mankaï, Selim, et al.
Published: (2024)
Optimal mutual insurance against systematic longevity risk
by: Armstrong, John, et al.
Published: (2024)
by: Armstrong, John, et al.
Published: (2024)
Self-protection and insurance demand with convex premium principles
by: Li, Qiqi, et al.
Published: (2024)
by: Li, Qiqi, et al.
Published: (2024)
Combining a Large Pool of Forecasts of Value-at-Risk and Expected Shortfall
by: Taylor, James W., et al.
Published: (2025)
by: Taylor, James W., et al.
Published: (2025)
On the modeling assumptions of Historical Simulation for Value-at-Risk
by: Grelsson, Björn Löfdahl
Published: (2026)
by: Grelsson, Björn Löfdahl
Published: (2026)
Optimal design of reinsurance contracts with a continuum of risk assessments
by: Cheung, Ka Chun, et al.
Published: (2025)
by: Cheung, Ka Chun, et al.
Published: (2025)
Dynamic reinsurance design with heterogeneous beliefs under the mean-variance framework
by: Guo, Junyi, et al.
Published: (2025)
by: Guo, Junyi, et al.
Published: (2025)
Lapse-supported life insurance and adverse selection
by: Haçarız, Oytun, et al.
Published: (2024)
by: Haçarız, Oytun, et al.
Published: (2024)
Value-at-Risk- and Expectile-based Systemic Risk Measures and Second-order Asymptotics: With Applications to Diversification
by: Geng, Bingzhen, et al.
Published: (2024)
by: Geng, Bingzhen, et al.
Published: (2024)
Pareto-Optimal Peer-to-Peer Risk Sharing with Robust Distortion Risk Measures
by: Ghossoub, Mario, et al.
Published: (2024)
by: Ghossoub, Mario, et al.
Published: (2024)
Pareto and Bowley Reinsurance Games in Peer-to-Peer Insurance
by: Boonen, Tim J., et al.
Published: (2026)
by: Boonen, Tim J., et al.
Published: (2026)
Demand for catastrophe insurance under the path-dependent effects
by: Cui, Liyuan, et al.
Published: (2025)
by: Cui, Liyuan, et al.
Published: (2025)
Asymptotic Analysis of Optimal Diversification in Catastrophe Risk Pooling
by: Nguyen, Minh Chau, et al.
Published: (2025)
by: Nguyen, Minh Chau, et al.
Published: (2025)
Extreme-case Range Value-at-Risk under Increasing Failure Rate
by: Su, Yuting, et al.
Published: (2025)
by: Su, Yuting, et al.
Published: (2025)
Higher moments under dependence uncertainty with applications in insurance
by: Bernard, Carole, et al.
Published: (2025)
by: Bernard, Carole, et al.
Published: (2025)
Risk management opportunities in auto insurance: A focus on the value of vehicles
by: Martin Ellingsworth
Published: (2024)
by: Martin Ellingsworth
Published: (2024)
Mean-field approximations in insurance
by: Hornung, Philipp C.
Published: (2025)
by: Hornung, Philipp C.
Published: (2025)
Combining Value-at-Risk and Expected Shortfall forecasts via the Model Confidence Set
by: Amendola, Alessandra, et al.
Published: (2024)
by: Amendola, Alessandra, et al.
Published: (2024)
Robust risk evaluation of joint life insurance under dependence uncertainty
by: Koike, Takaaki
Published: (2025)
by: Koike, Takaaki
Published: (2025)
Stochastic dominance for linear combinations of infinite-mean risks
by: Chen, Yuyu, et al.
Published: (2025)
by: Chen, Yuyu, et al.
Published: (2025)
Pareto‐efficient risk sharing in centralized insurance markets with application to flood risk
by: Tim J. Boonen, et al.
Published: (2024)
by: Tim J. Boonen, et al.
Published: (2024)
Optimal dividends for a NatCat insurer in the presence of a climate tipping point
by: Albrecher, Hansjoerg, et al.
Published: (2025)
by: Albrecher, Hansjoerg, et al.
Published: (2025)
Optimal consumption, portfolio, and long‐term‐care health insurance in a dynamic framework
by: Lucia Leporatti, et al.
Published: (2025)
by: Lucia Leporatti, et al.
Published: (2025)
Diversification quotients: Quantifying diversification via risk measures
by: Han, Xia, et al.
Published: (2022)
by: Han, Xia, et al.
Published: (2022)
Similar Items
-
Lambda Expected Shortfall
by: Bellini, Fabio, et al.
Published: (2025) -
Lambda Value-at-Risk under ambiguity and risk sharing
by: Liu, Peng, et al.
Published: (2025) -
Monopoly Pricing of Weather Index Insurance
by: Boonen, Tim J., et al.
Published: (2025) -
Cash-subadditive risk measures without quasi-convexity
by: Han, Xia, et al.
Published: (2021) -
Risk exchange under infinite-mean Pareto models
by: Chen, Yuyu, et al.
Published: (2024)