Extensions of Ohlin's lemma with applications to optimal reinsurance structures

DOI10.1016/0167-6687(93)90538-ZzbMath0795.62093OpenAlexW2055706252WikidataQ124805793 ScholiaQ124805793MaRDI QIDQ1318554

Ole Hesselager

Publication date: 1993

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

Full work available at URL: https://doi.org/10.1016/0167-6687(93)90538-z

zbMATH Keywords

convex functionChebyshev systemsOhlin's lemmaordering of risksstop-loss ordercumulative distribution functionsArrow-Ohlin theoremexpected reinsurance compensationextremal compensation functionsmore dangerousoptimal reinsurance structuresVajda-Ohlin theorem

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods for mathematical programming, optimization and variational techniques (65K99)

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Cites Work

• Ordering of risks: a review
• Optimal reinsurance in relation to ordering of risks
• The ideas of P. L. Čebyšev and A. A. Markov in the theory of limiting values of integrals and their further development
• Some Results on Optimal Reinsurance in Terms of the Adjustment Coefficient
• Geometry of moment spaces
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