Ruin theory with excess of loss reinsurance and reinstatements

DOI10.1016/J.AMC.2011.02.109MaRDI QIDQ548371zbMATH OpenOpenAlexFDO

Authors Sandra Haas, Hansjörg Albrecher

Publication date 28 June 2011

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://serval.unil.ch/notice/serval:BIB_9A0C8ADB5970

zbMATH Keywords

piecewise deterministic Markov processintegral operatorfinite-time ruin probabilityreinsurancehigh-dimensional integration

Mathematics Subject Classification ID

Recommendations

• Reinsurance and ruin
• Ruin probability and optimal investment and excess of loss reinsurance policy
• Excess of loss reinsurance with reinstatements: premium calculation and ruin probability of the cedent
• Excess of Loss Reinsurance with Reinstatements Revisited
• On ruin probability minimization under excess reinsurance
• A numerical approach to ruin models with excess of loss reinsurance and reinstatements
• Ruin probabilities under optimal combining quota-share and excess of loss reinsurance
• Pricing Excess of Loss Reinsurance with Reinstatements
• The effect of excess of loss reinsurance with reinstatements on the cedent’s portfolio

Cites work

• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• Excess of Loss Reinsurance with Reinstatements Revisited
• Martingales and insurance risk
• Optimal Premium Plans for Reinsurance with Reinstatements
• Pricing Excess of Loss Reinsurance with Reinstatements
• Reinsurance. Actuarial and statistical aspects
• Simulation methods in ruin models with nonlinear dividend barriers.
• Some comments on the individual risk model and multivariate extension
• The effect of excess of loss reinsurance with reinstatements on the cedent’s portfolio

Cited in

(10)

• Indifference pricing of reinsurance with reinstatements using coherent monetary criteria
• Reinsurance and ruin
• Excess of loss reinsurance with reinstatements: premium calculation and ruin probability of the cedent
• The effect of excess of loss reinsurance with reinstatements on the cedent’s portfolio
• Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. II: Numerical aspects
• A numerical approach to ruin models with excess of loss reinsurance and reinstatements
• Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects
• Optimal reinsurance of dependent risks
• Risk theory and reinsurance. Translated from the French by Urmie Ray
• Excess of loss reinsurance and Gerber's inequality in the Sparre Andersen model.

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