Some mathematical aspects of reinsurance

DOI10.1016/0167-6687(83)90003-3zbMath0505.62085OpenAlexW2084320000MaRDI QIDQ1836458

Howard R. Waters

Publication date: 1983

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(83)90003-3

zbMATH Keywords

reinsuranceprobability of ruinpremium calculation principlesoptimal retention limits

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (27)

Measuring the effects of reinsurance by the adjustment coefficient ⋮ A general family of univariate stochastic orders ⋮ Optimal reinsurance under the general mixture risk measures ⋮ Reinsurance and ruin ⋮ Optimal reinsurance under convex principles of premium calculation ⋮ Optimal proportional reinsurance under dependent risks ⋮ Optimal reinsurance for Gerber-Shiu functions in the Cramér-Lundberg model ⋮ An insight into the excess of loss retention limit ⋮ Ruin probability and time of ruin with a proportional reinsurance threshold strategy ⋮ Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Andersen model. ⋮ Excess of loss reinsurance and Gerber's inequality in the Sparre Andersen model. ⋮ Optimization problems of excess-of-loss reinsurance and investment under the CEV model ⋮ On ruin probability minimization under excess reinsurance ⋮ Optimal Proportional Reinsurance Policies in a Dynamic Setting ⋮ Optimal Reinsurance Revisited – A Geometric Approach ⋮ On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance ⋮ Systems simulation analysis and optimization of insurance business ⋮ An optimal reinsurance problem in the Cramér-Lundberg model ⋮ The observed total time on test and the observed excess wealth ⋮ On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability ⋮ A general family of NBU classes of life distributions ⋮ Large deviations for risk processes with reinsurance ⋮ Review of statistical actuarial risk modelling ⋮ On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance ⋮ Optimisation in Non-Life Insurance ⋮ Reinsurance retention levels for property/liability firms. A managerial portofolio selection framework ⋮ VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance

Cites Work

• Excess of loss reinsurance limits
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