Dependent risks and excess of loss reinsurance

DOI10.1016/j.insmatheco.2004.12.001zbMath1125.91062OpenAlexW2019925340MaRDI QIDQ2581778

Publication date: 10 January 2006

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.12.001

Mathematics Subject Classification ID

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Related Items (23)

RATEMAKING OF DEPENDENT RISKS ⋮ Optimal dynamic reinsurance with dependent risks: variance premium principle ⋮ Reinsurance of multiple risks with generic dependence structures ⋮ Optimal proportional reinsurance under dependent risks ⋮ An expansion formula for Hawkes processes and application to cyber-insurance derivatives ⋮ Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business ⋮ Ruin probability and time of ruin with a proportional reinsurance threshold strategy ⋮ On some effects of dependencies on an insurer's risk exposure, probability of ruin, and optimal premium loading ⋮ OPTIMAL MEAN–VARIANCE REINSURANCE WITH COMMON SHOCK DEPENDENCE ⋮ Simple risk measure calculations for sums of positive random variables ⋮ On a multivariate Pareto distribution ⋮ Multivariate Tweedie distributions and some related capital-at-risk analyses ⋮ Optimal proportional reinsurance with common shock dependence ⋮ Optimal Risk Control for The Excess of Loss Reinsurance Policies ⋮ Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility ⋮ Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting ⋮ Unnamed Item ⋮ Optimal layer reinsurance on the maximization of the adjustment coefficient ⋮ A priori ratemaking using bivariate Poisson regression models ⋮ Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence ⋮ Pricing formulae for derivatives in insurance using Malliavin calculus ⋮ Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure ⋮ Robust optimal investment and reinsurance problems with learning

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