An optimality of change loss type strategy

DOI10.1080/02331930310001637378MaRDI QIDQ4470660zbMATH OpenOpenAlexFDO

Authors D. Zagrodny

Publication date 15 June 2004

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331930310001637378

zbMATH Keywords

convex programmingreinsurance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Convex programming (90C25)

Cites work

• scientific article; zbMATH DE number 5299204 (Why is no real title available?)
• Insurer's optimal reinsurance strategies
• On convex principles of premium calculation
• Optimal reinsurance under mean-variance premium principles
• Tangent sets of order one and two to the positive cones of some functional spaces
• Variational Analysis

Cited in

(3)

• Loss strategies for competing AIMD flows
• On the price of risk in a mean-risk optimization model
• Optimal reinsurance under general risk measures

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