A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts

DOI10.1016/J.INSMATHECO.2009.03.001MaRDI QIDQ659093zbMATHOpenAlexFDO

Authors Roy Cerqueti, R. Foschi, F. Spizzichino

Publication date 10 February 2012

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11393/38756

zbMATH Keywords

order statistic propertyintensity of a spatial mixed Poisson processinvariance properties of spatial point processesreinsurance models with delays

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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• Optimal reinsurance under mean-variance premium principles
• Perspectives of Risk Sharing
• Reinsurance and ruin
• Semigroups of semi-copulas and evolution of dependence at increase of age
• Stochastic cooperative games in insurance

Cited in

(4)

• The order-statistic claim process with dependent claim frequencies and severities
• A stochastic model for evaluating the peaks of commodities' returns
• Constant elasticity of variance model for proportional reinsurance and investment strategies
• Patent valuation under spatial point processes with delayed and decreasing jump intensity

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