Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Andersen model.

DOI10.1016/S0167-6687(01)00095-6zbMath1037.62106MaRDI QIDQ1413298

Maria de Lourdes Centeno

Publication date: 16 November 2003

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

zbMATH Keywords

reinsuranceadjustment coefficientSparre Andersen modelexcess of lossquota-sharecombinations of excess of loss and quota-share reinsurance

Mathematics Subject Classification ID

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

Related Items (12)

Optimal investment and proportional reinsurance in the Sparre Andersen model ⋮ De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information ⋮ Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process ⋮ Multiple per-claim reinsurance based on maximizing the Lundberg exponent ⋮ Ruin probability and time of ruin with a proportional reinsurance threshold strategy ⋮ Parametric expectile regression and its application for premium calculation ⋮ Excess of loss reinsurance and Gerber's inequality in the Sparre Andersen model. ⋮ Optimal risk-sharing across a network of insurance companies ⋮ Optimal reinsurance programs: an optimal combination of several reinsurance protections on a heterogeneous insurance portfolio. ⋮ A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts ⋮ An optimal reinsurance problem in the Cramér-Lundberg model ⋮ Unnamed Item

Cites Work

• Unnamed Item
• Measuring the effects of reinsurance by the adjustment coefficient
• Aspects of risk theory
• Some mathematical aspects of reinsurance
• Some Results on Optimal Reinsurance in Terms of the Adjustment Coefficient
• Excess of loss reinsurance limits

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