De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information

DOI10.1016/J.INSMATHECO.2017.06.007zbMath1395.91253OpenAlexW2733587123MaRDI QIDQ2404539

Xiang Hu, Lianzeng Zhang, Baige Duan

Publication date: 19 September 2017

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.06.007

zbMATH Keywords

ruin probabilitypartial informationDe Vylder approximationoptimal retentionquota-share and excess of loss reinsurance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (4)

Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process ⋮ Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy ⋮ Ruin probabilities by Padé's method: simple moments based mixed exponential approximations (Renyi, De Vylder, Cramér-Lundberg), and high precision approximations with both light and heavy tails ⋮ Optimal reinsurance-investment problem under mean-variance criterion with \(n\) risky assets

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