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math.OC2024
Optimal Ratcheting of Dividends with Irreversible Reinsurance
Tim J. Boonen, Engel John C. Dela Vega
This paper considers an insurance company that faces two key constraints: a ratcheting dividend constraint and an irreversible reinsurance constraint. The company allocates part of…
q-fin.RM2024
Optimal insurance design with Lambda-Value-at-Risk
Tim J. Boonen, Yuyu Chen, Xia Han +1
This paper explores optimal insurance solutions based on the Lambda-Value-at-Risk ($Λ\VaR$). If the expected value premium principle is used, our findings confirm that, similar to…