Extensions of Ohlin's lemma with applications to optimal reinsurance structures

DOI10.1016/0167-6687(93)90538-ZMaRDI QIDQ1318554zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

convex functionChebyshev systemsOhlin's lemmaordering of risksstop-loss ordercumulative distribution functionsArrow-Ohlin theoremexpected reinsurance compensationextremal compensation functionsmore dangerousoptimal reinsurance structuresVajda-Ohlin theorem

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods for mathematical programming, optimization and variational techniques (65K99)

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Cites work

• scientific article; zbMATH DE number 3885030 (Why is no real title available?)
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• scientific article; zbMATH DE number 3246461 (Why is no real title available?)
• scientific article; zbMATH DE number 3337815 (Why is no real title available?)
• scientific article; zbMATH DE number 3107192 (Why is no real title available?)
• Geometry of moment spaces
• Optimal reinsurance in relation to ordering of risks
• Ordering of risks: a review
• Some Results on Optimal Reinsurance in Terms of the Adjustment Coefficient
• The ideas of P. L. Čebyšev and A. A. Markov in the theory of limiting values of integrals and their further development

Cited in

(9)

• Optimal reinsurance from the perspectives of both insurers and reinsurers under the VaR risk measure and Vajda condition
• Lorenz and Excess Wealth Orders, with Applications in Reinsurance Theory
• 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
• 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 under the Haezendonck risk measure
• Optimal reinsurance subject to Vajda condition
• Best bounds for expected financial payoffs. II: Applications

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