Case study on the optimality of reinsurance contracts

MaRDI QIDQ2801431zbMATH OpenFDO

Authors Werner Hürlimann

Publication date 7 April 2016

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

Full work available at URL https://www.e-periodica.ch/cntmng?pid=msa-003:2010:0::126

zbMATH Keywords

optimal reinsurancesurplusordering of risksquota sharede Finetti criterionstop-lossexcess-of-lossRORAC criterion

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Recommendations

• Optimal reinsurance in relation to ordering of risks
• VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance
• Measuring the effects of reinsurance by the adjustment coefficient
• Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
• On the optimality of proportional reinsurance

Cited in

(8)

• A dynamic reinsurance theory
• scientific article; zbMATH DE number 6523819 (Why is no real title available?)
• Optimal reinsurance in relation to ordering of risks
• On randomized reinsurance contracts
• Optimization of a chain of excess-of-loss reinsurance layers with aggregate stop-loss limits
• On the optimality of proportional reinsurance
• scientific article; zbMATH DE number 3852272 (Why is no real title available?)
• scientific article; zbMATH DE number 4030790 (Why is no real title available?)

This page was built for publication: Case study on the optimality of reinsurance contracts

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2801431)