Excess of loss reinsurance and Gerber's inequality in the Sparre Andersen model.

DOI10.1016/S0167-6687(02)00187-7zbMath1074.91567MaRDI QIDQ1413370

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 loss

Mathematics Subject Classification ID

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

Related Items (11)

Optimal investment and proportional reinsurance in the Sparre Andersen model ⋮ Optimal dynamic reinsurance with dependent risks: variance premium principle ⋮ A generalization of Gerber's inequality for ruin probabilities in risk-switching models ⋮ Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model ⋮ Optimal proportional reinsurance with common shock dependence ⋮ Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence ⋮ Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model ⋮ Optimal combinational of quota-share and stop-loss reinsurance contracts under VaR and CTE with a constrained reinsurance premium ⋮ On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing ⋮ Optimal reinsurance in a compound Poisson risk model with dependence ⋮ Optimal investment and proportional reinsurance with constrained control variables

Cites Work

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• Measuring the effects of reinsurance by the adjustment coefficient
• Aspects of risk theory
• Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Andersen model.
• Some mathematical aspects of reinsurance

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