Optimal joint survival reinsurance: an efficient frontier approach
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Publication:661206
DOI10.1016/j.insmatheco.2010.03.006zbMath1231.91177MaRDI 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
Appell polynomials; efficient frontier; copula functions; probability of ruin; expected profit; joint survival of cedent and reinsurer; optimal excess of loss reinsurance
62F40: Bootstrap, jackknife and other resampling methods
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Cites Work
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- Optimal reinsurance under general risk measures
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- Mean-Variance Optimal Reinsurance Arrangements
- Perspectives of Risk Sharing
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