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  • Photo du rédacteurHélène Dufour

Optimal Risk Management with Reinsurance and its Counterparty Risk Hedging

"... we revisit the study of an optimal risk management strategy for an insurer who wants to maximize the expected utility by purchasing reinsurance and managing reinsurance counterparty risk with a default-free hedging instrument, where the reinsurance premium is calculated by the expected value principle and the price of the hedging instrument equals to the expected payoff plus a proportional loading."


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