Bibliography


Abdikerimova, Samal, and Runhuan Feng. 2022. “Peer-to-Peer Multi-Risk Insurance and Mutual Aid.” European Journal of Operational Research 299 (2): 735–49. https://doi.org/10.1016/j.ejor.2021.09.017.
Actuarial Community. 2020. Loss Data Analytics. https://openacttexts.github.io/Loss-Data-Analytics/index.html.
Albrecher, Hansjörg, Jan Beirlant, and Jozef L Teugels. 2017. Reinsurance: Actuarial and Statistical Aspects. John Wiley & Sons.
Albrecht, Peter, and Markus Huggenberger. 2017. “The Fundamental Theorem of Mutual Insurance.” Insurance: Mathematics and Economics 75: 180–88.
Alexander, Gordon J. 2013. “From Markowitz to Modern Risk Management.” In Asset Management and International Capital Markets, 5–15. Routledge.
ANU. 2018. “ANU Self-Insurance Reserve Guidelines.” https://services.anu.edu.au/files/guidance/SIR%20Policy%202018_2019.pdf.
———. 2020. “ANU Annual Report 2020.” https://www.anu.edu.au/files/review/2020%20annual%20report.pdf.
———. 2022a. “ANU Insurance Policy Statement.” https://policies.anu.edu.au/ppl/document/ANUP_000422.
———. 2022b. “ANU Risk Management Policy Statement.” https://policies.anu.edu.au/ppl/document/ANUP_000462.
———. 2023. “Workers’ Compensation at ANU.” https://services.anu.edu.au/human-resources/health-safety/workers-compensation-at-anu.
Aon Risk Solutions. 2019. “Global Risk Management Survey.” London, England. Aon Risk Solutions. https://www.aon.com/2019-top-global-risks-management-economics-geopolitics-brand-damage-insights/index.html.
Asimit, Alexandru V, Tao Gao, Junlei Hu, and Eun-Seok Kim. 2018. “Optimal Risk Transfer: A Numerical Optimization Approach.” North American Actuarial Journal 22 (3): 341–64. https://doi.org/10.1080/10920277.2017.1421472.
Assa, Hirbod. 2015. “On Optimal Reinsurance Policy with Distortion Risk Measures and Premiums.” Insurance: Mathematics and Economics 61: 70–75. https://doi.org/10.1016/j.insmatheco.2014.11.007.
Ban, Gah-Yi, Noureddine El Karoui, and Andrew EB Lim. 2018. “Machine Learning and Portfolio Optimization.” Management Science 64 (3): 1136–54.
Beard, Robert, Teivo Pentikäinen, and Erkki Pesonen. 1984. Risk Theory: The Stochastic Basis of Insurance, Third Edition. Chapman; Hall.
Beketov, Mikhail, Kevin Lehmann, and Manuel Wittke. 2018. “Robo Advisors: Quantitative Methods Inside the Robots.” Journal of Asset Management 19 (6): 363–70.
Belles-Sampera, Jaume, Montserrat Guillén, and Miguel Santolino. 2014. “Beyond Value-at-Risk: GlueVaR Distortion Risk Measures.” Risk Analysis 34 (1): 121–34. https://doi.org/10.1111/risa.12080.
Benamraoui, A, and A Aljandali. 2020. “FinTech Innovations: A Review of the Recent Developments and Prospects.” Bancaria 12: 85–95.
Bernard, Carole. 2013. “Risk Sharing and Pricing in the Reinsurance Market.” In Handbook of Insurance, edited by Georges Dionne, 603–26. Springer. https://doi.org/10.1007/978-1-4614-0155-1_21.
Bernard, Carole, Fangda Liu, and Steven Vanduffel. 2020. “Optimal Insurance in the Presence of Multiple Policyholders.” Journal of Economic Behavior & Organization 180: 638–56.
Best, Michael J, and Robert R Grauer. 1991. “On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results.” The Review of Financial Studies 4 (2): 315–42.
Bierlaire, Michel. 2018. Optimization: Principles and Algorithms. 2nd ed. Lausanne: EPFL Press. http://optimizationprinciplesalgorithms.com/.
Billingsley, Patrick. 2013. Convergence of Probability Measures. John Wiley & Sons.
Blanchet, Jose, Henry Lam, Qihe Tang, and Zhongyi Yuan. 2019. “Robust Actuarial Risk Analysis.” North American Actuarial Journal 23 (1): 33–63.
Borch, Karl H. 1962. “Equilibrium in a Reinsurance Market.” Econometrica: Journal of the Econometric Society, 424–44.
———. 1974. “The Mathematical Theory of Insurance: An Annotated Selections of Papers on Insurance Published, 1960-1972.”
Boyd, Stephen P, and Lieven Vandenberghe. 2004. Convex Optimization. Cambridge University Press.
Brockett, Patrick L, Samuel H Jr Cox, and Robert C Witt. 1986. “Insurance Versus Self-Insurance: A Risk Management Perspective.” Journal of Risk and Insurance, 242–57.
Bühlmann, Hans. 1970. Mathematical Methods in Risk Theory. Vol. 172. Springer.
Cai, Jun, and Yichun Chi. 2020. “Optimal Reinsurance Designs Based on Risk Measures: A Review.” Statistical Theory and Related Fields, 1–13. https://doi.org/10.1080/24754269.2020.1758500.
Cai, Jun, and Ken Seng Tan. 2007. “Optimal Retention for a Stop-Loss Reinsurance Under the VaR and CTE Risk Measures.” Astin Bulletin 37 (01): 93–112. https://doi.org/10.1017/S0515036100014756.
Cai, Jun, Ken Seng Tan, Chengguo Weng, and Yi Zhang. 2008. “Optimal Reinsurance Under VaR and CTE Risk Measures.” Insurance: Mathematics and Economics 43 (1): 185–96. https://doi.org/10.1016/j.insmatheco.2008.05.011.
Candelon, Bertrand, Christophe Hurlin, and Sessi Tokpavi. 2012. “Sampling Error and Double Shrinkage Estimation of Minimum Variance Portfolios.” Journal of Empirical Finance 19 (4): 511–27.
Chalabi, Yohan, and Diethelm Würtz. 2015. “Portfolio Allocation.” In Computational Actuarial Science with r, edited by Arthur Charpentier, 447–70. CRC Press Taylor & Francis Group.
Cheung, Ka Chun, Wing Fung Chong, and Ambrose Lo. 2019. “Budget-Constrained Optimal Reinsurance Design Under Coherent Risk Measures.” Scandinavian Actuarial Journal 2019 (9): 729–51. https://doi.org/10.1080/03461238.2019.1598891.
Chopra, Vijay K, and William T Ziemba. 1993. “The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice.” Journal of Portfolio Management; 19 (2): 6–11.
Cortis, Dominic, Jeremy Debattista, Johann Debono, and Mark Farrell. 2019. “InsurTech.” In Disrupting Finance, 71–84. Palgrave Pivot, Cham.
Cummins, J David, and Mary A Weiss. 2014. “Systemic Risk and the US Insurance Sector.” Journal of Risk and Insurance. Wiley Online Library.
Cummins, J. David, and Olivier Mahul. 2004. “The Demand for Insurance with an Upper Limit on Coverage.” Journal of Risk and Insurance 71 (2): 253–64. https://doi.org/10.1111/j.0022-4367.2004.00088.x.
D’Acunto, Francesco, Nagpurnanand Prabhala, and Alberto G Rossi. 2019. “The Promises and Pitfalls of Robo-Advising.” The Review of Financial Studies 32 (5): 1983–2020.
Daw, RH. 1979. “Smallpox and the Double Decrement Table: A Piece of Actuarial Prehistory.” Journal of the Institute of Actuaries 106 (3): 299–318.
Daykin, Chris D, Teivo Pentikäinen, and Martti Pesonen. 1994. Practical Risk Theory for Actuaries. CRC Press.
De Finetti, Bruno. 1940. “Il Problema Dei Pieni.” Giorn. Ist. Ital. Attuari 11: 1–88.
De Prado, Marcos Lopez. 2016. “Building Diversified Portfolios That Outperform Out of Sample.” The Journal of Portfolio Management 42 (4): 59–69.
DeMiguel, Victor, Lorenzo Garlappi, Francisco J Nogales, and Raman Uppal. 2009. “A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms.” Management Science 55 (5): 798–812.
Denuit, Michel. 2020. “Investing in Your Own and Peers’ Risks: The Simple Analytics of P2P Insurance.” European Actuarial Journal 10: 335–59.
Denuit, Michel, and Jan Dhaene. 2012. “Convex Order and Comonotonic Conditional Mean Risk Sharing.” Insurance: Mathematics and Economics 51 (2): 265–70.
Denuit, Michel, Jan Dhaene, Marc Goovaerts, and Rob Kaas. 2006. Actuarial Theory for Dependent Risks: Measures, Orders and Models. John Wiley & Sons.
Denuit, Michel, Jan Dhaene, and Christian Y Robert. 2022. “Risk-Sharing Rules and Their Properties, with Applications to Peer-to-Peer Insurance.” Journal of Risk and Insurance 89 (3): 615–67.
Denuit, Michel, and Christian Y Robert. 2021a. “From Risk Sharing to Pure Premium for a Large Number of Heterogeneous Losses.” Insurance: Mathematics and Economics 96: 116–26.
———. 2021b. “Risk Sharing Under the Dominant Peer-to-Peer Property and Casualty Insurance Business Models.” Risk Management and Insurance Review 24 (2): 181–205. https://doi.org/10.1111/rmir.12180.
Dhaene, Jan, Andreas Tsanakas, Emiliano A Valdez, and Steven Vanduffel. 2012. “Optimal Capital Allocation Principles.” Journal of Risk and Insurance 79 (1): 1–28.
Dong, Yumo, Edward W Frees, and Fei Huang. 2022. “Deductible Costs for Bundled Insurance Contracts.” Available at Https://Ssrn.com/Abstract=4020299.
Eling, Martin, and Werner Schnell. 2016. “What Do We Know about Cyber Risk and Cyber Risk Insurance?” The Journal of Risk Finance 17 (5): 474–91.
Embrechts, Paul, Rüdiger Frey, and Alexander McNeil. 2005. Quantitative Risk Management. Princeton Series in Finance, Princeton.
Embrechts, Paul, Haiyan Liu, and Ruodu Wang. 2018. “Quantile-Based Risk Sharing.” Operations Research 66 (4): 936–49. https://doi.org/10.1287/opre.2017.1716.
Feng, Runhuan. 2023. Decentralized Insurance: Technical Foundation of Business Models. Springer Nature.
Feng, Runhuan, Chongda Liu, and Stephen Taylor. 2023. “Peer-to-Peer Risk Sharing with an Application to Flood Risk Pooling.” Annals of Operations Research 321: 813–42. https://doi.org/10.1007/s10479-022-04841-x.
Fiacco, Anthony V. 1976. “Sensitivity Analysis for Nonlinear Programming Using Penalty Methods.” Mathematical Programming 10 (1): 287–311.
———, ed. 1983. Introduction to Sensitivity and Stability Analysis in Nonlinear Programming. Mathematics in Science and Engineering. Elsevier.
Fiacco, Anthony V, and Garth P McCormick. 1990. Nonlinear Programming: Sequential Unconstrained Minimization Techniques. SIAM.
Frahm, Gabriel, Markus Junker, and Alexander Szimayer. 2003. “Elliptical Copulas: Applicability and Limitations.” Statistics & Probability Letters 63 (3): 275–86.
Frank, Maurice J. 1979. “On the Simultaneous Associativity of f(x, y) and x+y-f(x, y).” Aequationes Mathematicae 19 (1): 194–226. http://eudml.org/doc/136825.
Frees, Edward W. 1990. “Stochastic Life Contingencies with Solvency Considerations.” Transactions of the Society of Actuaries 42: 91–148. https://www.soa.org/globalassets/assets/library/research/transactions-of-society-of-actuaries/1990-95/1990/january/tsa90v427.pdf.
———. 2009. Regression Modeling with Actuarial and Financial Applications. Cambridge University Press.
———. 2014. “Frequency and Severity Models.” In Predictive Modeling Applications in Actuarial Science, edited by Edward W Frees, Glenn Meyers, and Richard Derrig, 1:138–64. Cambridge University Press Cambridge.
———. 2017. “Insurance Portfolio Risk Retention.” North American Actuarial Journal 21 (4): 526–51. https://doi.org/10.1080/10920277.2017.1317272.
———. 2025. Constructing Insurable Risk Portfolios. Taylor & Francis, CRC. https://users.ssc.wisc.edu/~jfrees/InsurableRisks/.
Frees, Edward W, and Adam Butt. 2022. “ANU Insurable Risks.” https://doi.org/10.25911/0SE7-N746.
Frees, Edward W, and Lisa Gao. 2020. “Predictive Analytics and Medical Malpractice.” North American Actuarial Journal 24 (2): 211–27. https://doi.org/10.1080/10920277.2019.1634597.
Frees, Edward W, and Gee Lee. 2015. “Rating Endorsements Using Generalized Linear Models.” Variance 10 (1): 51–74. https://www.casact.org/sites/default/files/2021-07/Rating-Endorsements-Frees-Lee.pdf.
Frees, Edward W, Gee Lee, and Lu Yang. 2016. “Multivariate Frequency Severity Regression Models in Insurance.” Risks 4 (1): 4. https://doi.org/10.3390/risks4010004.
———. 2024. “Data and Code to Support ’Multivariate Frequency Severity Regression Models in Insurance’.” University of Wisconsin-Madison. https://sites.google.com/a/wisc.edu/jed-frees/home.
Frees, Edward W, Glenn Meyers, and A David Cummings. 2010. “Dependent Multi-Peril Ratemaking Models.” ASTIN Bulletin: The Journal of the IAA 40 (2): 699–726.
Frees, Edward W, and Peng Shi. 2024. “Insurable Risk Portfolios and Data Uncertainty.”
Frees, Edward W, and Emiliano A. Valdez. 1998. “Understanding Relationships Using Copulas.” North American Actuarial Journal 2 (01): 1–25. https://doi.org/10.1080/10920277.1998.10595667.
Fu, Michael C. 2008. “What You Should Know about Simulation and Derivatives.” Naval Research Logistics 55 (8): 723–36. https://doi.org/10.1002/nav.20313.
———, ed. 2015a. Handbook of Simulation Optimization. Springer.
———. 2015b. “Stochastic Gradient Estimation.” In Handbook of Simulation Optimization, edited by Michael C Fu, 105–48. Springer.
Gassmann, H. I. 2003. “Multivariate Normal Probabilities: Implementing an Old Idea of Plackett’s.” Journal of Computational and Graphical Statistics 12 (3): 731–52.
Genest, Christian, and Josh Mackay. 1986. “The Joy of Copulas: Bivariate Distributions with Uniform Marginals.” The American Statistician 40: 280–83. https://doi.org/10.1080/00031305.1986.10475414.
Gerber, Hans U. 1979. An Introduction to Mathematical Risk Theory. S.S. Huebner Foundation for Insurance Education.
Gerber, Hans, and Gérard Pafumi. 1998. “Utility Functions: From Risk Theory to Finance.” North American Actuarial Journal 2 (3): 74–91. https://doi.org/10.1080/10920277.1998.10595728.
Givens, Geof H, and Jennifer Hoeting. 2013. Computational Statistics, Second Edition. Vol. 596. Wiley Online Library.
Glineur, François, and Jean-François Walhin. 2006. “De Finetti’s Retention Problem for Proportional Reinsurance Revisited.” Blätter Der DGVFM 27 (3): 451 462.
Gollier, Christian. 2013. “The Economics of Optimal Insurance Design.” In Handbook of Insurance, edited by Georges Dionne, 107–22. Springer. https://doi.org/10.1007/978-1-4614-0155-1_4.
Gollier, Christian, and Harris Schlesinger. 1995. “Second-Best Insurance Contract Design in an Incomplete Market.” The Scandinavian Journal of Economics, 123–35. https://doi.org/10.2307/3440833.
Gray, Roger J., and Susan M. Pitts. 2012. Risk Modelling in General Insurance: From Principles to Practice. Cambridge University Press.
Grealish, Adam, and Petter N Kolm. 2021. “Robo-Advisory: From Investing Principles and Algorithms to Future Developments.”
Guo, Qiheng, Daniel Bauer, and George H Zanjani. 2021. “Capital Allocation Techniques: Review and Comparison.” Variance 14 (2). https://variancejournal.org/article/29684-capital-allocation-techniques-review-and-comparison.
Gutterman, Sam. 2017. “IAA Risk Book Chapter 17—Risk and Uncertainty.” https://www.actuaries.org/IAA/Documents/Publications/RiskBook/Ch17_Risk_and_Uncertainty_2017-06-06.pdf.
Haberman, Steven, and Ermanno Pitacco. 2018. Actuarial Models for Disability Insurance. Routledge.
Han, Xia, Liyuan Lin, and Ruodu Wang. 2023. “Diversification Quotients Based on VaR and ES.” Insurance: Mathematics and Economics 113: 185–97.
Härdle, Wolfgang. 1990. Applied Nonparametric Regression. 19. Cambridge University Press.
Harrington, Scott E, and Greg Niehaus. 1999. Risk Management and Insurance. McGraw-Hill/Irwin.
Hastie, Trevor, Robert Tibshirani, and Jerome H Friedman. 2009. The Elements of Statistical Learning: Data Mining, Inference, and Prediction. Vol. 2. Springer.
He, Guangliang, and Robert Litterman. 2002. “The Intuition Behind Black-Litterman Model Portfolios.” SSRN. https://ssrn.com/abstract=334304.
Henrion, René. 2024. “Chance-Constrained Programming.” Stochastic Programming Society. https://www.stoprog.org/what-stochastic-programming.
Hofert, Marius, Ivan Kojadinovic, Martin Mächler, and Jun Yan. 2018. Elements of Copula Modeling with r. Springer.
Hong, L. Jeff. 2009. “Estimating Quantile Sensitivities.” Operations Research 57 (1): 118–30. https://doi.org/10.1287/opre.1080.0531.
Huebner, Solomon S, Kenneth Black, and SS Huebner. 1996. Property and Liability Insurance. Prentice Hall.
Ingersoll, Jonathan E. 1987. Theory of Financial Decision Making. Vol. 3. Rowman & Littlefield.
Insights, Deloitte. 2019. “Global Risk Management Survey, 11th Edition.” London, England. Deloitte Insights. https://www2.deloitte.com/content/dam/Deloitte/co/Documents/risk/DI_global-risk-management-survey.pdf.
Insurance Information Institute. 2023a. “Finite Risk Reinsurance.” Insurance Information Institute. https://www.iii.org/article/finite-risk-reinsurance.
———. 2023b. “Small Business Insurance Basics.” Insurance Information Institute. https://www.iii.org/publications/insurance-handbook/insurance-basics/small-business-insurance-basics.
Jiang, Guangxin, and Michael C Fu. 2015. “Technical Note. On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis.” Operations Research 63 (2): 435–41. https://doi.org/10.1287/opre.2015.1356.
Joe, Harry. 2014. Dependence Modeling with Copulas. CRC Press.
Kim, Sujin, Raghu Pasupathy, and Shane G Henderson. 2015. “A Guide to Sample Average Approximation.” Handbook of Simulation Optimization, 207–43.
Klugman, Stuart A., Harry H. Panjer, and Gordon E. Willmot. 2012. Loss Models: From Data to Decisions. John Wiley & Sons.
Knight, FH. 1921. Risk, Uncertainty, and Profit. Boston/New York: Houghton Mifflin.
Koenker, Roger. 2005. Quantile Regression. Vol. 38. Cambridge University Press.
Landsman, Zinoviy M, and Emiliano A Valdez. 2003. “Tail Conditional Expectations for Elliptical Distributions.” North American Actuarial Journal 7 (4): 55–71.
Ledoit, Olivier, and Michael Wolf. 2003. “Improved Estimation of the Covariance Matrix of Stock Returns with an Application to Portfolio Selection.” Journal of Empirical Finance 10 (5): 603–21.
Lee, Gee Yul. 2017. Multivariate Insurance Loss Models with Applications in Risk Retention. University of Wisconsin-Madison. https://na02.alma.exlibrisgroup.com/view/uresolver/01UWI_MAD/openurl?u.ignore_date_coverage=true&portfolio_pid=53842654580002122&Force_direct=true&rfr_id=info:sid/primo.exlibrisgroup.com.
———. 2023. “Multivariate Insurance Portfolio Risk Retention Using the Method of Multipliers.” North American Actuarial Journal. https://doi.org/10.1080/10920277.2022.2161578.
Lemaire, Jean. 1991. “Borch’s Theorem: A Historical Survey of Applications.” In Risk, Information and Insurance, 15–37. Springer. https://doi.org/10.1007/978-94-009-2183-2_2.
Levy, Paul S, and Stanley Lemeshow. 2013. Sampling of Populations: Methods and Applications. John Wiley & Sons.
Liu, Guangwu, and Liu Jeff Hong. 2009. “Kernel Estimation of Quantile Sensitivities.” Naval Research Logistics 56 (6): 511–25.
Lo, Ambrose. 2017. “A Unifying Approach to Risk-Measure-Based Optimal Reinsurance Problems with Practical Constraints.” Scandinavian Actuarial Journal 2017 (7): 584–605. https://doi.org/10.1080/03461238.2016.1193558.
Lourdes Centeno, Maria de, and Onofre Simões. 2009. “Optimal Reinsurance.” RACSAM-Revista de La Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas 103 (2): 387–404. https://rac.es/ficheros/doc/00787.pdf.
Luenberger, David G, Yinyu Ye, et al. 2016. Linear and Nonlinear Programming. International Series in Operations Research and Management Science. Springer.
Machina, Mark J. 2013. “Non-Expected Utility and the Robustness of the Classical Insurance Paradigm.” In Handbook of Insurance, Second Edition, 59–106. Springer.
Mainik, Georg, and Paul Embrechts. 2013. “Diversification in Heavy-Tailed Portfolios: Properties and Pitfalls.” Annals of Actuarial Science 7 (1): 26–45.
Markowitz, Harry. 1952. “The Utility of Wealth.” Journal of Political Economy 60 (2): 151–58.
Mayers, David, and Clifford W Smith. 2000. “Organizational Forms Within the Insurance Industry: Theory and Evidence.” Handbook of Insurance, 689–707.
Metropolis, Nicholas, and Stanislaw Ulam. 1949. “The Monte Carlo Method.” Journal of the American Statistical Association 44 (247): 335–41.
Metz, Jason, and Ashlee Valentine. 2023. “Business Owners Policy (BOP): Coverage and Costs.” Forbes. https://www.forbes.com/advisor/business-insurance/business-owners-policy/.
Mildenhall, Stephen A, and John Major. 2022. Pricing Insurance Risk: Theory and Practice. John Wiley & Sons.
Morningstar Report. 2022. “2022 Robo-Advisor Landscape.” Morningstar. https://www.morningstar.com/lp/robo-advisor-landscape.
NAIC. 2020. “Captive Insurance Companies.” National Association of Insurance Commissioners (NAIC). https://content.naic.org/cipr_topics/topic_captive_insurance_companies.htm.
———. 2023. “Business Interruption/Businessowner’s Policies (BOP).” National Association of Insurance Commissioners. https://content.naic.org/cipr-topics/business-interruptionbusinessowners-policies-bop.
National Association of Insurance Commissioners. 2023a. “Peer-to-Peer (P2P) Insurance.” National Association of Insurance Commissioners. https://content.naic.org/cipr-topics/peer-peer-p2p-insurance.
———. 2023b. “Risk Retention Groups.” National Association of Insurance Commissioners. https://content.naic.org/cipr_topics/topic_risk_retention_groups.htm.
National Association of Risk Retention. 2023. “NARR.” National Association of Risk Retention. https://www.riskretention.org/.
Net, ABC. 2020. “Hail Storm Sweeps Through Canberra, Damaging Countless Cars and Smashing Windows.” ABC Net, January. https://www.abc.net.au/news/2020-01-20/11882472.
Nocedal, Jorge, and Stephen Wright. 2006. Numerical Optimization. Springer Science & Business Media.
OECD. 2020. “Insurance Statistics Yearbook.” Paris. Organization for Economic Co-operation; Development (OECD). https://stats.oecd.org/Index.aspx?DatasetCode=INSIND.
———. 2022. OECD Insurance Statistics 2021. https://doi.org/https://doi.org/10.1787/841fa619-en.
Osborne, Martin J. 2021. “Mathematical Methods for Economic Theory: A Tutorial.” University of Toronto, Toronto. https://mjo.osborne.economics.utoronto.ca/index.php/tutorial/index/1/toc.
Panjer, Harry H, Phelim P Boyle, Samuel H Cox, D Dufresne, HU Gerber, HH Mueller, HW Pedersen, et al. 1998. Financial Economics: With Applications to Investments, Insurance, and Pensions. Actuarial Foundation Schaumburg, Ill.
Pericoli, Marcello, and Massimo Sbracia. 2003. “A Primer on Financial Contagion.” Journal of Economic Surveys 17 (4): 571–608.
Pesonen, Martti I. 1984. “Optimal Reinsurances.” Scandinavian Actuarial Journal 1984 (2): 65–90. https://doi.org/10.1080/03461238.1984.10413754.
Plackett, Robin L. 1954. “A Reduction Formula for Normal Multivariate Integrals.” Biometrika 41 (3/4): 351–60.
Pressacco, Flavio, Paolo Serafini, and Laura Ziani. 2011. “Mean Variance Efficient Strategies in Proportional Reinsurance Under Group Correlation in a Gaussian Framework.” European Actuarial Journal 1 (2): 433 454.
Puccetti, Giovanni, and Ruodu Wang. 2015. “Extremal Dependence Concepts.” Statistical Science 30 (4): 485–517.
Rego, Margarida Lima, and Joana Campos Carvalho. 2020. “Insurance in Today’s Sharing Economy: New Challenges Ahead or a Return to the Origins of Insurance?” InsurTech: A Legal and Regulatory View, 27–47.
Robinson, Stephen M. 1974. “Perturbed Kuhn-Tucker Points and Rates of Convergence for a Class of Nonlinear-Programming Algorithms.” Mathematical Programming 7: 1–16.
Rockafellar, R Tyrrell, and Stanislav Uryasev. 2002. “Conditional Value-at-Risk for General Loss Distributions.” Journal of Banking & Finance 26 (7): 1443–71. https://doi.org/10.1016/S0378-4266(02)00271-6.
Rosset, Saharon, and Ji Zhu. 2007. “Piecewise Linear Regularized Solution Paths.” The Annals of Statistics, 1012–30.
Schäfer, Juliane, and Korbinian Strimmer. 2005. “A Shrinkage Approach to Large-Scale Covariance Matrix Estimation and Implications for Functional Genomics.” Statistical Applications in Genetics and Molecular Biology 4 (1).
Schepsmeier, Ulf, and Jakob Stöber. 2012. “Web Supplement: Derivatives and Fisher Information of Bivariate Copulas.” Tech. rep. TU München.
———. 2014. “Derivatives and Fisher Information of Bivariate Copulas.” Statistical Papers 55 (2): 525–42.
Schlesinger, Harris. 2013. “The Theory of Insurance Demand.” In Handbook of Insurance, 167–84. Springer New York. https://doi.org/10.1007/978-1-4614-0155-1_7.
Seal, Hilary L. 1969. Stochastic Theory of a Risk Business. Wiley.
Serfling, Robert J. 1980. Approximation Theorems of Mathematical Statistics. Vol. 162. John Wiley & Sons.
Serpa, Juan Camilo, and Harish Krishnan. 2017. “The Strategic Role of Business Insurance.” Management Science 63 (2): 384–404.
Shapiro, Alexander. 2013. “Sample Average Approximation.” Encyclopedia of Operations Research and Management Science 3: 1350–55.
Simon, Carl P, and Lawrence Blume. 1994. Mathematics for Economists. W.W. Norton; Company, New York.
Skipper, Harold D., and W. Jean Kwon. 2007. Risk Management and Insurance: Perspectives in a Global Economy. Blackwell.
Sklar, M. 1959. “Fonctions de Repartition a n Dimensions Et Leurs Marges.” Publ. Inst. Statist. Univ. Paris 8: 229–31.
State of Vermont. 2020. “Captive Basics.” Vermont Captive Insurance. https://www.vermontcaptive.com/captive/.
Stout, William F. 1974. “Almost Sure Convergence.”
Sun, Haoze, Chengguo Weng, and Yi Zhang. 2017. “Optimal Multivariate Quota-Share Reinsurance: A Nonparametric Mean-CVaR Framework.” Insurance: Mathematics and Economics 72: 197–214.
Swiss.Re. 2013. “The Essential Guide to Reinsurance.” Zurich, Switzerland. https://www.swissre.com/Library/the-essential-guide-to-reinsurance.html.
Tan, Ken Seng, and Chengguo Weng. 2014. “Empirical Approach for Optimal Reinsurance Design.” North American Actuarial Journal 18 (2): 315–42. https://doi.org/10.1080/10920277.2014.888008.
Toumi, Ralf, and Lauren Restell. 2014. “Catastrophe Modelling and Climate Change.” Lloyds of London. https://assets.lloyds.com/assets/pdf-modelling-and-climate-change-cc-and-modelling-template-v6/2/pdf-modelling-and-climate-change-CC-and-modelling-template-V6.pdf.
Tse, Yiu-Kuen. 2009. Nonlife Actuarial Models: Theory, Methods and Evaluation. Cambridge University Press.
Vajda, Stefan. 1962. “Minimum Variance Reinsurance.” ASTIN Bulletin: The Journal of the IAA 2 (2): 257–60. https://doi.org/10.1017/S0515036100009995.
Verlaak, Robert, and Jan Beirlant. 2003. “Optimal Reinsurance Programs: An Optimal Combination of Several Reinsurance Protections on a Heterogeneous Insurance Portfolio.” Insurance: Mathematics and Economics 33 (2): 381–403. https://doi.org/10.1016/j.insmatheco.2003.08.002.
Wang, Ruodu, and Ričardas Zitikis. 2021. “An Axiomatic Foundation for the Expected Shortfall.” Management Science 67 (3): 1413–29. https://pubsonline.informs.org/doi/pdf/10.1287/mnsc.2020.3617.
Willams, C Arthur, Michael L. Smith, and Peter C. Young. 1995. Risk Management and Insurance, Seventh Edition. McGraw-Hill.
Xiao, Yugu, and Emiliano A Valdez. 2015. “A Black–Litterman Asset Allocation Model Under Elliptical Distributions.” Quantitative Finance 15 (3): 509–19.
Yates, Natalie. 2023. “Reciprocal Insurance Exchange.” US News; World Report. https://www.usnews.com/insurance/glossary/reciprocal-insurance-exchange.
Yin, Chenyang, Romain Perchet, and François Soupé. 2021. “A Practical Guide to Robust Portfolio Optimization.” Quantitative Finance 21 (6): 911–28.