Excess of loss reinsurance under joint survival optimality
From MaRDI portal
Publication:860508
DOI10.1016/j.insmatheco.2006.05.005zbMath1151.91573MaRDI QIDQ860508
Dimitrina S. Dimitrova, Vladimir K. Kaishev
Publication date: 9 January 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://openaccess.city.ac.uk/id/eprint/11964/1/Kaishev%2C%20Dimitrova%20%282006%29%20IME.pdf
Appell polynomials; excess of loss reinsurance; joint survival of cedent and reinsurer; Copula functions; dependent claim severities; probability of non-ruin
Related Items
Optimal lower barrier on modified surplus process, Applying copula models to individual claim loss reserving methods, Optimal joint survival reinsurance: an efficient frontier approach, On the evaluation of finite-time ruin probabilities in a dependent risk model, Copula-based dependence between frequency and class in car insurance with excess zeros, Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model, Robust optimal investment and reinsurance problem for a general insurance company under Heston model, Survival probabilities in bivariate risk models, with application to reinsurance, De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information, Copula models for insurance claim numbers with excess zeros and time-dependence, Alarm system for insurance companies: a strategy for capital allocation, Estimation of medical costs by copula models with dynamic change of health status, A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Stochastic cooperative games in insurance
- Reinsurance and ruin
- Optimal dynamic reinsurance policies for large insurance portfolios
- On minimizing the ruin probability by investment and reinsurance
- Insurance pricing and increased limits ratemaking by proportional hazards transforms
- On Appell polynomials
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Optimal retention levels, given the joint survival of cedent and reinsurer
- An insight into the excess of loss retention limit
- Optimal Dynamic XL Reinsurance
- Perspectives of Risk Sharing
- A finite-time ruin probability formula for continuous claim severities
- Understanding Relationships Using Copulas