Optimal joint survival reinsurance: an efficient frontier approach

DOI10.1016/j.insmatheco.2010.03.006zbMath1231.91177OpenAlexW2091589088MaRDI QIDQ661206

Vladimir K. Kaishev, Dimitrina S. Dimitrova

Publication date: 10 February 2012

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

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/11960/1/Dimitrova%2C%20Kaishev%20%282010%29%20IME.pdf

zbMATH Keywords

Appell polynomialsefficient frontiercopula functionsprobability of ruinexpected profitjoint survival of cedent and reinsureroptimal excess of loss reinsurance

Mathematics Subject Classification ID

Related Items (17)

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Cites Work

• Excess of loss reinsurance under joint survival optimality
• Optimal reinsurance under general risk measures
• Optimal reinsurance under the general mixture risk measures
• Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
• Optimal reinsurance with general risk measures
• Optimal reinsurance programs: an optimal combination of several reinsurance protections on a heterogeneous insurance portfolio.
• On Appell polynomials
• Optimal retention levels, given the joint survival of cedent and reinsurer
• Mean-Variance Optimal Reinsurance Arrangements
• Perspectives of Risk Sharing
• A finite-time ruin probability formula for continuous claim severities
• Optimal Proportional Reinsurance and Ruin Probability

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