A dynamic reinsurance theory

DOI10.1016/0167-6687(92)90086-QzbMath0765.62096OpenAlexW2080285620MaRDI QIDQ1199962

Freddy Delbaen, Anja De Waegenaere

Publication date: 17 January 1993

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

Full work available at URL: https://doi.org/10.1016/0167-6687(92)90086-q

zbMATH Keywords

claim number processconditional varianceCarré du Champ operatoroptimal hedging strategyclaim severityconditional expectation of retained lossoptimal reinsurance strategyproportional stop-loss reinsuranceretained risksurplus reinsurance

Mathematics Subject Classification ID

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

Related Items (2)

Equilibria in a mixed financial-reinsurance market with constrained trading possibilities ⋮ Optimal Dynamic Reinsurance Under Heterogeneous Beliefs and CARA Utility

Cites Work

• A martingale approach to premium calculation principles in an arbitrage free market
• Martingales and stochastic integrals in the theory of continuous trading
• Markov processes: Ray processes and right processes
• Residual risks and hedging strategies in Markovian markets
• Martingales and Stochastic Integrals
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