Measuring the effects of reinsurance by the adjustment coefficient
From MaRDI portal
Publication:1079912
DOI10.1016/0167-6687(86)90043-0zbMath0598.62141OpenAlexW2117369710WikidataQ127977025 ScholiaQ127977025MaRDI QIDQ1079912
Publication date: 1986
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(86)90043-0
compound Poissonoptimal reinsuranceadjustment coefficientexcess of lossLundberg's inequalityquota-sharereinsurance retention limits
Related Items (22)
Upper bounds for ruin probabilities under model uncertainty ⋮ Bisk theory and its statistics enyiroment ⋮ De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information ⋮ Optimal dynamic reinsurance with dependent risks: variance premium principle ⋮ Reinsurance and ruin ⋮ Multiple per-claim reinsurance based on maximizing the Lundberg exponent ⋮ Ruin probability and time of ruin with a proportional reinsurance threshold strategy ⋮ Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Andersen model. ⋮ Excess of loss reinsurance and Gerber's inequality in the Sparre Andersen model. ⋮ OPTIMAL PROPORTIONAL REINSURANCE UNDER TWO CRITERIA: MAXIMIZING THE EXPECTED UTILITY AND MINIMIZING THE VALUE AT RISK ⋮ Optimal proportional reinsurance with common shock dependence ⋮ Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence ⋮ Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model ⋮ Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility ⋮ An optimal reinsurance problem in the Cramér-Lundberg model ⋮ Some Results on Optimal Reinsurance in Terms of the Adjustment Coefficient ⋮ Unnamed Item ⋮ Optimal reinsurance in a compound Poisson risk model with dependence ⋮ Review of statistical actuarial risk modelling ⋮ Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin ⋮ Optimal retention levels, given the joint survival of cedent and reinsurer ⋮ Reinsurance retention levels for property/liability firms. A managerial portofolio selection framework
Cites Work
This page was built for publication: Measuring the effects of reinsurance by the adjustment coefficient
