Calculation of the maximum retentions in XL reinsurance
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Publication:1095550
DOI10.1016/0167-6687(87)90010-2zbMath0632.62099MaRDI QIDQ1095550
Publication date: 1987
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(87)90010-2
algorithm; excess of loss reinsurance; absolute retention problem; expected utility criterion; Kuhn-Tucker first-order optimality conditions; maximum retentions; relative retention problem
62P05: Applications of statistics to actuarial sciences and financial mathematics
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Cites Work