Optimal quota share reinsurance for dependent lines of business

zbMATH Open1333.91037MaRDI QIDQ2801360FDOQ2801360

Authors: Klaus D. Schmidt 

Publication date: 7 April 2016

Published in: Mitteilungen. Schweizerische Aktuarvereinigung (SAV) (Search for Journal in Brave)

Full work available at URL: http://www.actuaries.ch/images/getFile?t=bulletin&f=dokument&id=22

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Mathematics Subject Classification ID

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

Cited In (4)

• The influence of correlation and loading on M-V efficient retentions in variable quota share proportional reinsurance
• Optimal reinsurance of dependent risks
• Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
• Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework

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