期刊: ASTIN BULLETIN, 2021; 51 (2)
This paper studies a problem of optimal reinsurance design under asymmetric information. The insurer adopts distortion risk measures to quantify his/h......
期刊: ASTIN BULLETIN, 2021; 51 (3)
Target benefit (TB) plans that incorporate intergenerational risk sharing have been demonstrated to be welfare improving over the long term. However, ......
期刊: ASTIN BULLETIN, 2021; 51 (2)
Systemic risk (SR) is considered as the risk of collapse of an entire system, which has played a significant role in explaining the recent financial t......
期刊: ASTIN BULLETIN, 2021; 51 (2)
In this paper, the optimal insurance design is studied from the perspective of an insured, who faces an insurable risk and a background risk. For the ......
期刊: ASTIN BULLETIN, 2021; 51 (2)
Assessing conditional tail risk at very high or low levels is of great interest in numerous applications. Due to data sparsity in high tails, the wide......
期刊: ASTIN BULLETIN, 2021; 51 (2)
In this paper, we study the optimal reinsurance contracts that minimize the convex combination of the Conditional Value-at-Risk (CVaR) of the insurer'......
期刊: ASTIN BULLETIN, 2021; 51 (1)
The projection of outstanding liabilities caused by incurred losses or claims has played a fundamental role in general insurance operations. Loss rese......
期刊: ASTIN BULLETIN, 2021; 51 (1)
Catastrophic loss data are known to be heavy-tailed. Practitioners then need models that are able to capture both tail and modal parts of claim data. ......
期刊: ASTIN BULLETIN, 2021; 51 (1)
A machine learning approach to zero-inflated Poisson (ZIP) regression is introduced to address common difficulty arising from imbalanced financial dat......
期刊: ASTIN BULLETIN, 2019; 49 (1)
This article attempts to extend Arrow's theorem of the deductible to the case of belief heterogeneity, which allows the insured and the insurer to hav......
期刊: ASTIN BULLETIN, 2019; 49 (2)
In the context of insurance, the smallest and largest claim amounts turn out to be crucial to insurance analysis since they provide useful information......
期刊: ASTIN BULLETIN, 2019; 49 (2)
As a benchmark mortality model in forecasting future mortality rates and hedging longevity risk, the widely employed Lee-Carter model (Lee, R.D. and C......
期刊: ASTIN BULLETIN, 2019; 49 (3)
We compute the optimal investment strategy for an individual who wishes to minimize her probability of lifetime ruin. The financial market in which sh......
期刊: ASTIN BULLETIN, 2018; 48 (1)
The analysis of capital injection strategy in the literature of insurance risk models (e.g. Pafumi, 1998; Dickson and Waters, 2004) typically assumes ......
期刊: ASTIN BULLETIN, 2018; 48 (1)
We study a stochastic differential game problem between two insurers, who invest in a financial market and adopt reinsurance to manage their claim ris......