Time dependent stop-loss reinsurance and exposure curves

DOI10.1016/j.cam.2020.113348zbMath1460.62167OpenAlexW3117652289MaRDI QIDQ2226274

Ozenc Murat Mert, A. Sevtap Selcuk-Kestel

Publication date: 11 February 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2020.113348

zbMATH Keywords

geometric Brownian motionstop-loss reinsurancedynamic ARIMAdynamic MLEexposure curves

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65) Risk models (general) (91B05)

Cites Work

• Optimal joint survival reinsurance: an efficient frontier approach
• Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
• Optimal reinsurance with general risk measures
• Kernel density estimation of actuarial loss functions
• Insurer's optimal reinsurance strategies
• Parameter Estimation in Stochastic Differential Equations
• Mean-Variance Optimal Reinsurance Arrangements
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• OPTIMAL REINSURANCE FROM THE PERSPECTIVES OF BOTH AN INSURER AND A REINSURER
• Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling

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