Extensions of Ohlin's lemma with applications to optimal reinsurance structures
DOI10.1016/0167-6687(93)90538-ZzbMATH Open0795.62093OpenAlexW2055706252WikidataQ124805793 ScholiaQ124805793MaRDI QIDQ1318554FDOQ1318554
Authors: Ole Hesselager 
Publication date: 1993
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(93)90538-z
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convex functionChebyshev systemsOhlin's lemmaordering of risksstop-loss ordercumulative distribution functionsArrow-Ohlin theoremexpected reinsurance compensationextremal compensation functionsmore dangerousoptimal reinsurance structuresVajda-Ohlin theorem
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods for mathematical programming, optimization and variational techniques (65K99)
Cites Work
- Optimal reinsurance in relation to ordering of risks
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- Some Results on Optimal Reinsurance in Terms of the Adjustment Coefficient
- Geometry of moment spaces
- The ideas of P. L. Čebyšev and A. A. Markov in the theory of limiting values of integrals and their further development
- Ordering of risks: a review
Cited In (9)
- OPTIMAL REINSURANCE FROM THE VIEWPOINTS OF BOTH AN INSURER AND A REINSURER UNDER THE CVAR RISK MEASURE AND VAJDA CONDITION
- Optimal reinsurance under convex principles of premium calculation
- Optimal reinsurance from the perspectives of both insurers and reinsurers under the VaR risk measure and Vajda condition
- A marginal indemnity function approach to optimal reinsurance under the Vajda condition
- Dependence bounds for the difference of stop-loss payoffs on the difference of two random variables
- Best bounds for expected financial payoffs. II: Applications
- Optimal reinsurance subject to Vajda condition
- Lorenz and Excess Wealth Orders, with Applications in Reinsurance Theory
- Optimal reinsurance under the Haezendonck risk measure
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