Non-optimality of a linear combination of proportional and non-proportional reinsurance

DOI10.1016/S0167-6687(98)00054-7zbMath0945.62113MaRDI QIDQ1302127

Werner Hürlimann

Publication date: 12 October 2000

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

zbMATH Keywords

reinsurancecommonotonicityinequality of Bowersinequality of Kremerinequality of Schmittermean self-financing propertyoptimal deductibleperfect hedgetotal splitting risk

Mathematics Subject Classification ID

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

Related Items (1)

Truncated linear zero utility pricing and actuarial protection models

Cites Work

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• An Elementary Upper Bound for the Loading of a Stoploss Cover
• Integral Representation Without Additivity
• The Dual Theory of Choice under Risk

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