{"id":"https://openalex.org/W2972892778","doi":"https://doi.org/10.1137/19m1283045","title":"Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk","display_name":"Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk","publication_year":2020,"publication_date":"2020-01-01","ids":{"openalex":"https://openalex.org/W2972892778","doi":"https://doi.org/10.1137/19m1283045","mag":"2972892778"},"language":"en","primary_location":{"id":"doi:10.1137/19m1283045","is_oa":false,"landing_page_url":"https://doi.org/10.1137/19m1283045","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1909.04354","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5012918053","display_name":"Claudia Ceci","orcid":"https://orcid.org/0000-0003-2796-6588"},"institutions":[{"id":"https://openalex.org/I39387349","display_name":"University of Chieti-Pescara","ror":"https://ror.org/00qjgza05","country_code":"IT","type":"education","lineage":["https://openalex.org/I39387349"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Claudia Ceci","raw_affiliation_strings":["University of Chieti-Pescara"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Chieti-Pescara","institution_ids":["https://openalex.org/I39387349"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5074707266","display_name":"Katia Colaneri","orcid":"https://orcid.org/0000-0003-3933-3788"},"institutions":[{"id":"https://openalex.org/I116067653","display_name":"University of Rome Tor Vergata","ror":"https://ror.org/02p77k626","country_code":"IT","type":"education","lineage":["https://openalex.org/I116067653"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Katia Colaneri","raw_affiliation_strings":["University of Rome Tor Vergata"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Rome Tor Vergata","institution_ids":["https://openalex.org/I116067653"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5051542358","display_name":"Rdiger Frey","orcid":null},"institutions":[{"id":"https://openalex.org/I102248843","display_name":"Vienna University of Economics and Business","ror":"https://ror.org/03yn8s215","country_code":"AT","type":"education","lineage":["https://openalex.org/I102248843"]}],"countries":["AT"],"is_corresponding":false,"raw_author_name":"R\u00fcdiger Frey","raw_affiliation_strings":["Vienna University of Economics and Business"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Vienna University of Economics and Business","institution_ids":["https://openalex.org/I102248843"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5046955908","display_name":"Verena K\u00f6ck","orcid":null},"institutions":[{"id":"https://openalex.org/I102248843","display_name":"Vienna University of Economics and Business","ror":"https://ror.org/03yn8s215","country_code":"AT","type":"education","lineage":["https://openalex.org/I102248843"]}],"countries":["AT"],"is_corresponding":false,"raw_author_name":"Verena K\u00f6ck","raw_affiliation_strings":["Vienna University of Economics and Business"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Vienna University of Economics and Business","institution_ids":["https://openalex.org/I102248843"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.00944096,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"11","issue":"3","first_page":"788","last_page":"814"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12394","display_name":"Insurance and Financial Risk Management","score":0.9991000294685364,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T12394","display_name":"Insurance and Financial Risk Management","score":0.9991000294685364,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9980000257492065,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9962000250816345,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/reinsurance","display_name":"Reinsurance","score":0.9757354259490967},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.6409592032432556},{"id":"https://openalex.org/keywords/credit-risk","display_name":"Credit risk","score":0.6183655261993408},{"id":"https://openalex.org/keywords/counterparty","display_name":"Counterparty","score":0.5948769450187683},{"id":"https://openalex.org/keywords/value","display_name":"Value (mathematics)","score":0.5281565189361572},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.48351338505744934},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.37853604555130005},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.1343691051006317},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.08695286512374878}],"concepts":[{"id":"https://openalex.org/C166970017","wikidata":"https://www.wikidata.org/wiki/Q476118","display_name":"Reinsurance","level":2,"score":0.9757354259490967},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.6409592032432556},{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.6183655261993408},{"id":"https://openalex.org/C2779312582","wikidata":"https://www.wikidata.org/wiki/Q1783272","display_name":"Counterparty","level":3,"score":0.5948769450187683},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.5281565189361572},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.48351338505744934},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.37853604555130005},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.1343691051006317},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.08695286512374878}],"mesh":[],"locations_count":8,"locations":[{"id":"doi:10.1137/19m1283045","is_oa":false,"landing_page_url":"https://doi.org/10.1137/19m1283045","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:research.wu.ac.at:openaire_cris_publications/4ece72e7-aa9b-414f-8798-9ec851e7cb6d","is_oa":false,"landing_page_url":"https://research.wu.ac.at/de/publications/4ece72e7-aa9b-414f-8798-9ec851e7cb6d","pdf_url":null,"source":{"id":"https://openalex.org/S7407055123","display_name":"WU Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Ceci, C, Colaneri, K, Frey, R & K\u00f6ck, V 2020, 'Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk', SIAM Journal on Financial Mathematics, vol. 11, no. 3, pp. 788 - 814. https://doi.org/10.1137/19M1283045","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:RePEc:arx:papers:1909.04354","is_oa":false,"landing_page_url":"http://arxiv.org/pdf/1909.04354","pdf_url":"http://arxiv.org/pdf/1909.04354","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:arXiv.org:1909.04354","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1909.04354","pdf_url":"https://arxiv.org/pdf/1909.04354","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"mag:2972892778","is_oa":true,"landing_page_url":"http://export.arxiv.org/pdf/1909.04354","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"arXiv (Cornell University)","raw_type":null},{"id":"mag:3123539907","is_oa":false,"landing_page_url":"https://ideas.repec.org/p/arx/papers/1909.04354.html","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:iris.uniroma1.it:11573/1660621","is_oa":false,"landing_page_url":"https://hdl.handle.net/11573/1660621","pdf_url":null,"source":{"id":"https://openalex.org/S4377196107","display_name":"IRIS Research product catalog (Sapienza University of Rome)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"},{"id":"doi:10.48550/arxiv.1909.04354","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.1909.04354","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"Preprint"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1909.04354","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1909.04354","pdf_url":"https://arxiv.org/pdf/1909.04354","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/8","display_name":"Decent work and economic growth","score":0.47999998927116394}],"awards":[{"id":"https://openalex.org/G4264229175","display_name":null,"funder_award_id":"UFMBAZ-2019/000436","funder_id":"https://openalex.org/F4320333369","funder_display_name":"Gruppo Nazionale per l'Analisi Matematica, la Probabilit\u00e0 e le loro Applicazioni"},{"id":"https://openalex.org/G5567167633","display_name":"Stochastic Filtering and Corporate and Sovereign Credit Risk","funder_award_id":"MA14-031","funder_id":"https://openalex.org/F4320321003","funder_display_name":"Vienna Science and Technology Fund"},{"id":"https://openalex.org/G6261754899","display_name":null,"funder_award_id":"LS2 9JT","funder_id":"https://openalex.org/F4320320298","funder_display_name":"University of Leeds"},{"id":"https://openalex.org/G991837506","display_name":null,"funder_award_id":"UFMBAZ- 2017/0000327","funder_id":"https://openalex.org/F4320333369","funder_display_name":"Gruppo Nazionale per l'Analisi Matematica, la Probabilit\u00e0 e le loro Applicazioni"}],"funders":[{"id":"https://openalex.org/F4320311030","display_name":"Istituto Nazionale di Alta Matematica \"Francesco Severi\"","ror":"https://ror.org/01vx64p53"},{"id":"https://openalex.org/F4320320298","display_name":"University of Leeds","ror":"https://ror.org/024mrxd33"},{"id":"https://openalex.org/F4320321003","display_name":"Vienna Science and Technology Fund","ror":"https://ror.org/01f9mc681"},{"id":"https://openalex.org/F4320333369","display_name":"Gruppo Nazionale per l'Analisi Matematica, la Probabilit\u00e0 e le loro Applicazioni","ror":"https://ror.org/02ktjph70"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2972892778.pdf","grobid_xml":"https://content.openalex.org/works/W2972892778.grobid-xml"},"referenced_works_count":22,"referenced_works":["https://openalex.org/W630532681","https://openalex.org/W1493238038","https://openalex.org/W1511170401","https://openalex.org/W1533819021","https://openalex.org/W1602773783","https://openalex.org/W1762134087","https://openalex.org/W1843948847","https://openalex.org/W1886460142","https://openalex.org/W1970757651","https://openalex.org/W2001322134","https://openalex.org/W2029610521","https://openalex.org/W2062901128","https://openalex.org/W2065660452","https://openalex.org/W2130906284","https://openalex.org/W2170316986","https://openalex.org/W2270857406","https://openalex.org/W2566256176","https://openalex.org/W2751444882","https://openalex.org/W2907732917","https://openalex.org/W3121902215","https://openalex.org/W3123321876","https://openalex.org/W3123913657"],"related_works":["https://openalex.org/W3123539907","https://openalex.org/W2587930716","https://openalex.org/W1555456040","https://openalex.org/W2889409370","https://openalex.org/W1907917706","https://openalex.org/W2907732917","https://openalex.org/W3125583220","https://openalex.org/W2498947063","https://openalex.org/W2163995970","https://openalex.org/W2770721589","https://openalex.org/W1724072287","https://openalex.org/W2410709362","https://openalex.org/W1762134087","https://openalex.org/W3090399261","https://openalex.org/W1997458855","https://openalex.org/W2577598971","https://openalex.org/W2150092104","https://openalex.org/W2177006711","https://openalex.org/W1581117711","https://openalex.org/W3124384287"],"abstract_inverted_index":{"Reinsurance":[0],"counterparty":[1],"credit":[2],"risk":[3,7,34],"(RCCR)":[4],"is":[5,19,31],"the":[6,13,27,73,76,79,82,87,101,122],"of":[8,75,81],"a":[9,16,64,91,95,105,112],"loss":[10],"arising":[11],"from":[12],"fact":[14],"that":[15,67,117],"reinsurance":[17,83,92],"company":[18],"unable":[20],"to":[21,124],"fulfill":[22],"her":[23],"contractual":[24],"obligations":[25],"toward":[26],"ceding":[28],"insurer.":[29],"RCCR":[30],"an":[32],"important":[33],"category":[35],"for":[36,60,69],"insurance":[37],"companies":[38],"which,":[39],"so":[40],"far,":[41],"has":[42],"been":[43],"addressed":[44],"mostly":[45],"via":[46,94],"qualitative":[47],"approaches.":[48],"In":[49],"this":[50],"paper":[51,109],"we":[52],"therefore":[53],"study":[54,114],"value":[55,88],"adjustments":[56],"and":[57,78,99],"dynamic":[58,118],"hedging":[59,102,119],"RCCR.":[61,127],"We":[62,85],"propose":[63],"novel":[65],"model":[66],"accounts":[68],"contagion":[70],"effects":[71],"between":[72],"default":[74],"reinsurer":[77],"price":[80],"contract.":[84],"characterize":[86],"adjustment":[89],"in":[90],"contract":[93],"partial":[96],"integro-differential":[97],"equation":[98],"derive":[100],"strategies":[103,120],"using":[104],"quadratic":[106],"method.":[107],"The":[108],"closes":[110],"with":[111],"simulation":[113],"which":[115],"shows":[116],"have":[121],"potential":[123],"significantly":[125],"reduce":[126]},"counts_by_year":[],"updated_date":"2026-08-29T07:29:34.045763","created_date":"2025-10-10T00:00:00"}
