Optimal reinsurance

DOI10.1007/BF03191914zbMath1181.91090OpenAlexW2334711289MaRDI QIDQ5852475

Onofre Alves Simões, Maria de Lourdes Centeno

Publication date: 27 January 2010

Published in: RACSAM - Revista de la Real Academia de Ciencias Exactas, Fisicas y Naturales. Serie A. Matematicas (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf03191914

zbMATH Keywords

risk measuresreinsuranceadjustment coefficientpremium principlessurplusretentionexcess of lossquota sharestop loss

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Applications of operator theory in probability theory and statistics (47N30)

Related Items (8)

A pair of optimal reinsurance-investment strategies in the two-sided exit framework ⋮ Characterization of positive homogeneity for the principle of equivalent utility ⋮ Risk transference constraints in optimal reinsurance ⋮ Stable solutions for optimal reinsurance problems involving risk measures ⋮ Optimal reinsurance under risk and uncertainty ⋮ Differential equations connecting VaR and CVaR ⋮ Survival probabilities in bivariate risk models, with application to reinsurance ⋮ On fair reinsurance premiums; capital injections in a perturbed risk model

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