Excess of loss reinsurance limits

DOI10.1080/03461238.1979.10413708zbMath0399.62106OpenAlexW2058258020MaRDI QIDQ4184153

Howard R. Waters

Publication date: 1979

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1979.10413708

zbMATH Keywords

Poisson DistributionActuarial MathematicsOptimal Levels of Excess Loss ReinsurancePortfolio of Risks

Mathematics Subject Classification ID

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

Related Items (15)

Measuring the effects of reinsurance by the adjustment coefficient ⋮ Optimal investment and proportional reinsurance in the Sparre Andersen model ⋮ Bisk theory and its statistics enyiroment ⋮ Ruin probability and time of ruin with a proportional reinsurance threshold strategy ⋮ Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Andersen model. ⋮ OPTIMAL PROPORTIONAL REINSURANCE UNDER TWO CRITERIA: MAXIMIZING THE EXPECTED UTILITY AND MINIMIZING THE VALUE AT RISK ⋮ Upper bound for ruin probabilities under optimal investment and proportional reinsurance ⋮ Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model ⋮ Limit-determination for the excess-of-loss treaty in case of simple retrocession ⋮ Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility ⋮ Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting ⋮ Recursive limit-determination for the excess-of-loss treaty in case of multiple retrocession ⋮ Optimal investment and proportional reinsurance with constrained control variables ⋮ Some mathematical aspects of reinsurance ⋮ Dependent risks and excess of loss reinsurance

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