Optimal reinsurance under the standard deviation principle

DOI10.1360/012010-422MaRDI QIDQ5017669zbMATH OpenOpenAlexFDO

Authors Lixin Song, Yujie Huang, Juan Zhou

Publication date 17 December 2021

Published in SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1360/012010-422

zbMATH Keywords

upper boundreinsuranceLagrangian functiontotal riskstandard deviation principle

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Statistical methods; risk measures (91G70)

Recommendations

• Optimal reinsurance under the general mixture risk measures
• Optimal reinsurance under general risk measures
• Insurer's optimal reinsurance strategies
• Optimal reinsurance with general risk measures
• Optimal reinsurance under convex principles of premium calculation

Cited in

(11)

• Dynamic risk-sharing game and reinsurance contract design
• Optimal reinsurance under general risk measures
• Optimal reinsurance under convex principles of premium calculation
• Optimal reinsurance with general risk measures
• scientific article; zbMATH DE number 5643303 (Why is no real title available?)
• Optimal reinsurance under the general mixture risk measures
• Optimal dividend and proportional reinsurance strategy under standard deviation premium principle
• Optimal reinsurance under variance related premium principles
• scientific article; zbMATH DE number 5027121 (Why is no real title available?)
• Optimal reinsurance under expected shortfall risk measure
• Mean-variance optimal local reinsurance contracts

This page was built for publication: Optimal reinsurance under the standard deviation principle

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5017669)