Perturbation calculus in risk theory: Application to chains and trees of reinsurance

DOI10.1016/0167-6687(89)90051-6zbMath0674.62073OpenAlexW2069620205MaRDI QIDQ1121631

Bart Heijnen

Publication date: 1989

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

Full work available at URL: https://doi.org/10.1016/0167-6687(89)90051-6

zbMATH Keywords

Pareto-optimalitychains of reinsurancerisk exchange modelsstochastic generalization of perturbation calculustrees of reinsurance

Mathematics Subject Classification ID

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

Related Items (1)

Stackelberg reinsurance chain under model ambiguity

Cites Work

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• Chains of reinsurance
• On additive principles of zero utility
• Chains of reinsurance: Non-cooperative equilibria and Pareto optimality
• On the small risk approximation
• Equilibrium in a Reinsurance Market

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