{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,22]],"date-time":"2026-08-22T00:50:12Z","timestamp":1787359812211,"version":"build-2736575974"},"reference-count":30,"publisher":"Society for Industrial & Applied Mathematics (SIAM)","issue":"3","funder":[{"DOI":"10.13039\/100012740","name":"Gruppo Nazionale per l'Analisi Matematica, la Probabilit\u00e0 e le loro Applicazioni","doi-asserted-by":"publisher","award":["UFMBAZ- 2017\/0000327"],"award-info":[{"award-number":["UFMBAZ- 2017\/0000327"]}],"id":[{"id":"10.13039\/100012740","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/100012740","name":"Gruppo Nazionale per l'Analisi Matematica, la Probabilit\u00e0 e le loro Applicazioni","doi-asserted-by":"publisher","award":["UFMBAZ-2019\/000436"],"award-info":[{"award-number":["UFMBAZ-2019\/000436"]}],"id":[{"id":"10.13039\/100012740","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100001821","name":"Vienna Science and Technology Fund","doi-asserted-by":"publisher","award":["MA14-031"],"award-info":[{"award-number":["MA14-031"]}],"id":[{"id":"10.13039\/501100001821","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["SIAM J. Finan. Math."],"published-print":{"date-parts":[[2020,1]]},"abstract":"<jats:p>Reinsurance counterparty credit risk (RCCR) is the risk of a loss arising from the fact that a reinsurance company is unable to fulfill her contractual obligations toward the ceding insurer. RCCR is an important risk category for insurance companies which, so far, has been addressed mostly via qualitative approaches. In this paper we therefore study value adjustments and dynamic hedging for RCCR. We propose a novel model that accounts for contagion effects between the default of the reinsurer and the price of the reinsurance contract. We characterize the value adjustment in a reinsurance contract via a partial integro-differential equation and derive the hedging strategies using a quadratic method. The paper closes with a simulation study which shows that dynamic hedging strategies have the potential to significantly reduce RCCR.<\/jats:p>","DOI":"10.1137\/19m1283045","type":"journal-article","created":{"date-parts":[[2020,7,28]],"date-time":"2020-07-28T15:34:28Z","timestamp":1595950468000},"page":"788-814","source":"Crossref","is-referenced-by-count":4,"title":["Value Adjustments and Dynamic Hedging of Reinsurance Counterparty Risk"],"prefix":"10.1137","volume":"11","author":[{"given":"Claudia","family":"Ceci","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Katia","family":"Colaneri","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"R\u00fcdiger","family":"Frey","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Verena","family":"K\u00f6ck","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"351","published-online":{"date-parts":[[2020,7,28]]},"reference":[{"key":"atypb1","doi-asserted-by":"crossref","unstructured":"H. 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Pallavicini,\n                      Counterparty Credit Risk, Collateral and Funding: With Pricing Cases for All Asset Classes\n                      , Vol. 478, Wiley, New York, 2013.","DOI":"10.1002\/9781118818589"},{"key":"atypb10","doi-asserted-by":"publisher","DOI":"10.1016\/j.insmatheco.2014.04.006"},{"key":"atypb11","doi-asserted-by":"publisher","DOI":"10.1016\/j.insmatheco.2014.10.013"},{"key":"atypb12","doi-asserted-by":"publisher","DOI":"10.1016\/j.insmatheco.2017.07.005"},{"key":"atypb13","unstructured":"CEIOPS,\n                      CEIOPS' Advice for Level 2 Implementing Measures on Solvency II: SCR Standard Formula, Article 109(1c), Correlations-Counterparty Default Risk Module\n                      , Technical report, CEIOPS-DOC-23\/09, Committee of European Insurance and Occupational Pensions Supervisors, October 2009."},{"key":"atypb14","unstructured":"K. Colaneri and R. Frey,\n                      Classical Solutions of the Backward PIDE for a Markov Point Process with Characteristics Modulated by a Jump Diffusion\n                      , preprint,https:\/\/arxiv.org\/pdf\/1903.07492.pdf, 2019."},{"key":"atypb15","doi-asserted-by":"publisher","DOI":"10.1111\/mafi.12004"},{"key":"atypb16","doi-asserted-by":"publisher","DOI":"10.1111\/mafi.12005"},{"key":"atypb17","doi-asserted-by":"publisher","DOI":"10.1016\/j.insmatheco.2006.02.007"},{"key":"atypb18","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00164"},{"key":"atypb19","unstructured":"M. Flower, M. Afify, I. Cook, V. Gosrani, G. James, P. Koulovasilopoulos, J. Lincoln, D. Maneval, and J. Robinson,\n                      Reinsurance Counterparty Credit Risks: Practical Suggestions for Pricing, Reserving and Capital Modelling\n                      , GIRO working paper, Institute and Faculty of Actuaries, London, 2007."},{"key":"atypb20","doi-asserted-by":"publisher","DOI":"10.1142\/S0219024914500447"},{"key":"atypb21","doi-asserted-by":"crossref","unstructured":"P. Glasserman,\n                      Monte Carlo Methods in Financial Engineering\n                      , Springer, New York, 2003.","DOI":"10.1007\/978-0-387-21617-1"},{"key":"atypb22","unstructured":"J. Grandell,\n                      Aspects of Risk Theory\n                      , Springer, New York, 2012."},{"key":"atypb23","doi-asserted-by":"crossref","unstructured":"J. Gregory,\n                      Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets\n                      , Wiley, New York, 2012.","DOI":"10.1002\/9781118673638"},{"key":"atypb24","first-page":"1","volume":"2011","author":"Kravych Y.","year":"2011","journal-title":"ASTIN Colloquium"},{"key":"atypb25","unstructured":"A. McNeil, R. Frey, and P. Embrechts,\n                      Quantitative Risk Management: Concepts, Techniques and Tools\n                      , rev. ed., Princeton University Press, Princeton, NJ, 2015."},{"key":"atypb26","doi-asserted-by":"publisher","DOI":"10.1007\/s007800100041"},{"key":"atypb27","unstructured":"B. Oksendal,\n                      Stochastic Differential Equations: An Introduction with Applications\n                      , Springer, New York, 2013."},{"key":"atypb28","first-page":"538","author":"Schweizer M.","year":"2001","journal-title":"Cambridge"},{"key":"atypb29","unstructured":"R. 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