Optimal reinsurance for variance related premium calculation principles

DOI10.2143/AST.40.1.2049220zbMATH Open1230.91073MaRDI QIDQ3569708FDOQ3569708

Authors: Maria de Lourdes Centeno, Manuel Guerra 

Publication date: 21 June 2010

Published in: ASTIN Bulletin (Search for Journal in Brave)

Recommendations

• Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
• Optimal reinsurance under variance related premium principles
• Optimal reinsurance under mean-variance premium principles
• Mean-Variance Optimal Reinsurance Arrangements
• Optimal layer reinsurance on the maximization of the adjustment coefficient

zbMATH Keywords

optimal reinsurancevariance premium principleadjustment coefficientstop lossstandard deviation premium principle

Mathematics Subject Classification ID

Cites Work

• Title not available (Why is that?)
• On convex principles of premium calculation
• Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria

Cited In (27)

• Optimal insurance design under Vajda condition and exclusion clauses
• Optimal dynamic reinsurance with dependent risks: variance premium principle
• On the derivation of reinsurance premiums
• How retention levels influence the variability of the total risk under reinsurance
• Are quantile risk measures suitable for risk-transfer decisions?
• The credibility premiums based on estimated moment-generating function
• Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
• Insurance choice under third degree stochastic dominance
• Optimal insurance risk control with multiple reinsurers
• Optimal reinsurance design: a mean-variance approach
• Optimal insurance design under background risk with dependence
• Reinsurance of multiple risks with generic dependence structures
• Title not available (Why is that?)
• Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit
• A continuous-time theory of reinsurance chains
• Optimal non-life reinsurance under Solvency II regime
• Optimal risk transfers in insurance groups
• Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
• Optimal risk transfer under quantile-based risk measurers
• Convex ordering for insurance preferences
• The optimal insurance under disappointment theories
• Optimal layer reinsurance on the maximization of the adjustment coefficient
• Optimal reinsurance under variance related premium principles
• Optimal reinsurance in the presence of counterparty default risk
• The optimal reinsurance strategy -- the individual claim case
• Multidimensional credibility: a new approach based on joint distribution function
• Title not available (Why is that?)

This page was built for publication: Optimal reinsurance for variance related premium calculation principles

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3569708)