Concepedia

Risk-based Capital Optimization

Risk-Based Capital Optimization is a strategic framework in reinsurance that allocates capital according to quantified risk exposures to maximize capital efficiency while maintaining solvency and regulatory compliance under a quota share arrangement.

28

Publications

1.5K

Citations

61

Authors

45

Institutions

Publications per year

2017–2026

3

Parents

Publications

28

Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint

Lihua Bai, Junyi Guo · Insurance Mathematics and Economics · 2007 · 238 citations

, , +16

Application of Coherent Risk Measures to Capital Requirements in Insurance

Philippe Artzner · North American Actuarial Journal · 1999 · 213 citations

, , +17

Optimal capital and risk allocations for law- and cash-invariant convex functions

Damir Filipović, Gregor Svindland · Finance and Stochastics · 2008 · 132 citations · Full text

, , +15

Portfolio insurance and prospect theory investors: Popularity and optimal design of capital protected financial products

Hubert Dichtl, Wolfgang Drobetz · Journal of Banking & Finance · 2010 · 109 citations

, , +17

Optimal investment–reinsurance policy for an insurance company with VaR constraint

Shumin Chen, Zhongfei Li, Kemian Li · Insurance Mathematics and Economics · 2010 · 92 citations

, , +16

1–5 of 28

Authors

61

  1. JE
    Julia Eisenberg

    University of Cologne, Germany

    2 publications · 44 citations

    2

    h-index

  2. MZ
    Ming Zhou

    Central University of Finance and Economics, China

    1 publications · 71 citations

    1

    h-index

  3. KC
    Katia Colaneri

    University of Chieti-Pescara, Italy

    1 publications · 30 citations

    1

    h-index

  4. DH
    David H. Pyle

    University of California, Berkeley, United States

    1 publications · 49 citations

    1

    h-index

  5. ZJ
    Zhuo Jin

    The University of Melbourne, Australia

    1 publications · 21 citations

    1

    h-index

1–5 of 61

Institutions

45

  1. Central University of Finance and Economics

    Beijing, China

    2 h-index

    2 publications

    93 citations

  2. Tsinghua University

    Beijing, China

    2 h-index

    3 publications

    154 citations

  3. Nankai University

    Tianjin, China

    2 h-index

    3 publications

    495 citations

  4. University of Waterloo

    Waterloo, Canada

    2 h-index

    4 publications

    181 citations

  5. University of Rome Tor Vergata

    Rome, Italy

    1 h-index

    1 publications

    30 citations

  6. University of Perugia

    Perugia, Italy

    1 h-index

    1 publications

    30 citations

  7. University of Hong Kong

    Pok Fu Lam, Hong Kong

    1 h-index

    1 publications

    71 citations

  8. Hunan Normal University

    Changsha, China

    1 h-index

    2 publications

    38 citations

1–8 of 45

Venues

  1. Insurance Mathematics and Economics

    10 publications · 647 citations

    10

    h-index

  2. SSRN Electronic Journal

    Repository · 3 publications · 43 citations

    3

    h-index

  3. Journal of Banking & Finance

    2 publications · 158 citations

    2

    h-index

  4. Blätter der DGVFM

    2 publications · 44 citations

    2

    h-index

  5. Finance research letters

    1 publications · 16 citations

    1

    h-index

1–5