27 citations · 74 across the 5 of their papers we have counts for
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q-fin.RM2020
Dynamic Reinsurance in Discrete Time Minimizing the Insurer's Cost of Capital
Alexander Glauner
In the classical static optimal reinsurance problem, the cost of capital for the insurer's risk exposure determined by a monetary risk measure is minimized over the class of reinsu…
q-fin.RM2017★ 11 cited
Optimal Risk Allocation in Reinsurance Networks
Nicole Bäuerle, Alexander Glauner
In this paper we consider reinsurance or risk sharing from a macroeconomic point of view. Our aim is to find socially optimal reinsurance treaties. In our setting we assume that th…