Properties of functions of the excess of loss retention limit with applications

DOI10.1016/0167-6687(94)00016-6zbMath0814.62068OpenAlexW1986679604MaRDI QIDQ1341320

Jostein Paulsen, Håkon K. Gjessing

Publication date: 9 January 1995

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

Full work available at URL: https://doi.org/10.1016/0167-6687(94)00016-6

zbMATH Keywords

optimizationinvestmentinsurance portfoliooptimal policypremium calculation principlesexcess of loss reinsurance premiumsexcess of loss retention limit

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of mathematical programming (90C90)

Related Items (3)

Optimal per claim deductibility in insurance with the possibility of risky investments ⋮ Optimal Risk Control for The Excess of Loss Reinsurance Policies ⋮ Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs

Cites Work

• Harmonic analysis of the de Rham complex on the sphere.
• An insight into the excess of loss retention limit
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