Time dependent stop-loss reinsurance and exposure curves

DOI10.1016/J.CAM.2020.113348MaRDI QIDQ2226274zbMATH OpenOpenAlexFDO

Authors 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

dynamic ARIMAdynamic MLEexposure curvesgeometric Brownian motionstop-loss reinsurance

Mathematics Subject Classification ID

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

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Cites work

• Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling
• Insurer's optimal reinsurance strategies
• Kernel density estimation of actuarial loss functions
• Mean-Variance Optimal Reinsurance Arrangements
• Optimal joint survival reinsurance: an efficient frontier approach
• Optimal reinsurance from the perspectives of both an insurer and a reinsurer
• Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
• Optimal reinsurance with general risk measures
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Parameter estimation in stochastic differential equations

Cited in

(1)

• Analytical pricing of time dependent stop-loss reinsurance and exposure curves under time-changed Brownian motion

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