Optimal Reinsurance for Variance Related Premium Calculation Principles
From MaRDI portal
Publication:3569708
DOI10.2143/AST.40.1.2049220zbMath1230.91073MaRDI QIDQ3569708
Maria de Lourdes Centeno, Manuel C. Guerra
Publication date: 21 June 2010
Published in: ASTIN Bulletin (Search for Journal in Brave)
optimal reinsuranceadjustment coefficientvariance premium principlestop lossstandard deviation premium principle
Related Items (20)
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 insurance design under background risk with dependence ⋮ Optimal reinsurance under VaR and TVaR risk measures in the presence of reinsurer's risk limit ⋮ Optimal risk transfers in insurance groups ⋮ Reinsurance of multiple risks with generic dependence structures ⋮ Optimal insurance design under Vajda condition and exclusion clauses ⋮ Optimal non-life reinsurance under Solvency II regime ⋮ Are quantile risk measures suitable for risk-transfer decisions? ⋮ A continuous-time theory of reinsurance chains ⋮ The credibility premiums based on estimated moment-generating function ⋮ Optimal Reinsurance Design: A Mean-Variance Approach ⋮ Optimal reinsurance under variance related premium principles ⋮ Optimal risk transfer under quantile-based risk measurers ⋮ The optimal reinsurance strategy -- the individual claim case ⋮ The optimal insurance under disappointment theories ⋮ Convex ordering for insurance preferences ⋮ Optimal reinsurance in the presence of counterparty default risk ⋮ Optimal layer reinsurance on the maximization of the adjustment coefficient
Cites Work
This page was built for publication: Optimal Reinsurance for Variance Related Premium Calculation Principles