Lincoln, NE 68588
University of Nebraska Lincoln
optimal reinsurance design, distortion risk measure, distortion premium principle, multiple reinsurers, representative reinsurer
Dynamical Reinsurance, Mean-CVaR Premium Principle, Denneberg’s Absolute Deviation Principle, Ruin Probability
Habit Formation; Life-Cycle Model; Life Insurance; Annuity
reinsurance, multiple reinsurers, competition, premiums, Mean Conditional Value-at-Risk
optimal insurance design, rank-dependent utility theory, Yaari’s dual criterion, probability weighting function, moral hazard, indemnity function, retention function, quantile formulation
Cooperative bargaining, reinsurance, contract design, comonotonic additive preferences
optimal reinsurance, marginal indemnification function, Lagrangian dual method, distortion risk measure, inverse-S shaped distortion premium principle
insurance design; expected value principle; variance; incentive compatibility; comparative statics
CDF formulation, Lagrangian dual method, optimal reinsurance, survival probability maximization, background risk, generalized Wang’s premium principle
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incentive compatibility, indemnity function, moral hazard, optimal insurance design, probability weighting function, quantile formulation, rank‐dependent utility theory, retention function
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