Calculation of the maximum retentions in XL reinsurance

DOI10.1016/0167-6687(87)90010-2zbMath0632.62099OpenAlexW2057146191MaRDI QIDQ1095550

Marco Zecchin

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1016/0167-6687(87)90010-2

zbMATH Keywords

algorithmexcess of loss reinsuranceabsolute retention problemexpected utility criterionKuhn-Tucker first-order optimality conditionsmaximum retentionsrelative retention problem

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Limit-determination for the excess-of-loss treaty in case of simple retrocession ⋮ Recursive limit-determination for the excess-of-loss treaty in case of multiple retrocession ⋮ Reinsurance retention levels for property/liability firms. A managerial portofolio selection framework

Cites Work

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