An extension of Arrow's result on optimality of a stop loss contract

DOI10.1016/j.insmatheco.2004.07.011zbMath1122.91343OpenAlexW2027061188MaRDI QIDQ2485525

Marek Kaluszka

Publication date: 5 August 2005

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.07.011

zbMATH Keywords

Risk measureReinsuranceSemi-varianceHarm functionMean-variance premium principlesReinsurance contractsStop loss

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites Work

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• Optimal insurance and generalized deductibles
• An Extension of the Gerber-Bühlmann-Jewell Conditions for Optimal Risk Sharing
• Utility Functions
• Optimal reinsurance under mean-variance premium principles

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