Optimization of a chain of excess-of-loss reinsurance layers with aggregate stop-loss limits

zbMATH Open1333.91028MaRDI QIDQ2801407FDOQ2801407

Authors: Werner Hürlimann 

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=16

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Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Cited In (2)

• Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
• Optimal premium allocation under stop-loss insurance using exposure curves

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