An optimal co-reinsurance strategy

DOI10.1016/J.INSMATHECO.2016.04.005MaRDI QIDQ343986zbMATH OpenOpenAlexFDO

Authors Ali Panahi Bazaz, Amir T. Payandeh Najafabadi

Publication date 21 November 2016

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2016.04.005

zbMATH Keywords

Bayesian methodutility functionbalanced loss functionscopula methodoptimal co-reinsurance strategyoptimal reinsurance contract

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 5299204 (Why is no real title available?)
• scientific article; zbMATH DE number 524365 (Why is no real title available?)
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• Credibility premium for rate-making systems
• Introductory Statistics with Applications in General Insurance
• Loss models. From data to decisions
• Minimizing the ruin probability of risk processes with reinsurance
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• Optimal reinsurance arrangements in the presence of two reinsurers
• Optimal risk transfer under quantile-based risk measurers
• Optimality of general reinsurance contracts under CTE risk measure
• Principal Applications of Bayesian Methods in Actuarial Science
• The diversification theorem restated: risk-pooling without assignment of probabilities

Cited in

(1)

• Insurer's optimal reinsurance strategies

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