“… 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.”
Optimal Risk Management with Reinsurance and its Counterparty Risk Hedging
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