Budget-constrained optimal retention with an upper limit on the retained loss

DOI10.1080/03461238.2019.1659177MaRDI QIDQ4959772zbMATH OpenOpenAlexWikidataFDO

Authors Mario Ghossoub

Publication date 7 April 2020

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

Full work available at URL https://doi.org/10.1080/03461238.2019.1659177

zbMATH Keywords

deductibleheterogeneous beliefsoptimal insuranceprobability distortionretention functionupper limit

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

• A Neyman-Pearson perspective on optimal reinsurance with constraints
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• Optimal insurance in the presence of insurer's loss limit
• Optimal insurance under the insurer's risk constraint
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• Weighted risk capital allocations

Cited in

(6)

• Budget-constrained optimal insurance without the nonnegativity constraint on indemnities
• Budget-constrained optimal insurance with belief heterogeneity
• Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance
• Optimal reinsurance with multiple reinsurers: distortion risk measures, distortion premium principles, and heterogeneous beliefs
• Pareto-optimal insurance with an upper limit on the insurer's exposure
• Optimal insurance for a prudent decision maker under heterogeneous beliefs

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