Properties of functions of the excess of loss retention limit with applications
From MaRDI portal
Publication:1341320
DOI10.1016/0167-6687(94)00016-6zbMath0814.62068MaRDI QIDQ1341320
Jostein Paulsen, Håkon K. Gjessing
Publication date: 9 January 1995
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(94)00016-6
optimization; investment; insurance portfolio; optimal policy; premium calculation principles; excess of loss reinsurance premiums; excess of loss retention limit
62P05: Applications of statistics to actuarial sciences and financial mathematics
90C90: Applications of mathematical programming
Related Items
Optimal per claim deductibility in insurance with the possibility of risky investments, Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs, Optimal Risk Control for The Excess of Loss Reinsurance Policies
Cites Work