Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Andersen model.
From MaRDI portal
Publication:1413298
DOI10.1016/S0167-6687(01)00095-6zbMath1037.62106MaRDI QIDQ1413298
Publication date: 16 November 2003
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
reinsurance; adjustment coefficient; Sparre Andersen model; excess of loss; quota-share; combinations of excess of loss and quota-share reinsurance
62P05: Applications of statistics to actuarial sciences and financial mathematics
Related Items
A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts, Excess of loss reinsurance and Gerber's inequality in the Sparre Andersen model., Optimal reinsurance programs: an optimal combination of several reinsurance protections on a heterogeneous insurance portfolio., Ruin probability and time of ruin with a proportional reinsurance threshold strategy
Cites Work