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
Appell polynomialsefficient frontiercopula functionsprobability of ruinexpected profitjoint survival of cedent and reinsureroptimal excess of loss reinsurance
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (17)
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
This page was built for publication: Optimal joint survival reinsurance: an efficient frontier approach