Stochastic orders in dynamic reinsurance markets

DOI10.1007/S00780-004-0130-YzbMATHOpenAlexMaRDI QIDQ1776014FDO

Authors Thomas Møller

Publication date 20 May 2005

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00780-004-0130-y

zbMATH Keywords

change of measureconvex ordercompound Poisson processminimal martingale measureminimal entropy martingale measurecut criterionstop-loss contract

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15) Martingales with continuous parameter (60G44)

Recommendations

• Optimal reinsurance in relation to ordering of risks
• Reinsurance in arbitrage-free markets
• Optimal reinsurance and stop-loss order
• Convex ordering of Esscher and minimal entropy martingale measures for discrete time models
• Optimal reinsurance under general risk measures

Cited in

(5)

• Convex ordering criteria for Lévy processes
• Comparison of option prices in semimartingale models
• Probability of sufficiency of Solvency II reserve risk margins: practical approximations
• Comparison results for GARCH processes
• A characterization of martingale-equivalent mixed compound Poisson processes

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