2 citations · 3 across the 3 of their papers we have counts for
4 papers
When is truncated stop loss optimal?
Erik Bølviken, Yinzhi Wang
The paper examines how reinsurance can be used to strike a balance between expected profit and VaR/CVaR risk. Conditions making truncated stop loss contracts optimal are derived, a…
How much is optimal reinsurance degraded by error?
Yinzhi Wang, Erik Bølviken
The literature on optimal reinsurance does not deal with how much the effectiveness of such solutions is degraded by errors in parameters and models. The issue is investigated thro…
Optimal reinsurance for risk over surplus ratios
Erik Bølviken, Yinzhi Wang
Optimal reinsurance when Value at Risk and expected surplus is balanced through their ratio is studied, and it is demonstrated how results for risk-adjusted surplus can be utilized…
Modelling extreme claims via composite models and threshold selection methods
Yinzhi Wang, Ingrid Hobæk Haff, Arne Huseby
The existence of large and extreme claims of a non-life insurance portfolio influences the ability of (re)insurers to estimate the reserve. The excess over-threshold method provide…