Optimal retention levels, given the joint survival of cedent and reinsurer

DOI10.1080/03461230410020437zbMath1143.91029OpenAlexW2003291911MaRDI QIDQ3440868

Rossen S. Krachunov, Vladimir K. Kaishev, Zvetan G. Ignatov

Publication date: 29 May 2007

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/2283/1/147-ARP.pdf

zbMATH Keywords

optimal reinsuranceexcess of loss reinsurance, probability of survivaloptimal retention level

Mathematics Subject Classification ID

Related Items (8)

On Pareto-optimal reinsurance with constraints under distortion risk measures ⋮ Excess of loss reinsurance under joint survival optimality ⋮ De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information ⋮ Optimal lower barrier on modified surplus process ⋮ Optimal joint survival reinsurance: an efficient frontier approach ⋮ Pareto-optimal reinsurance revisited: a two-stage optimisation procedure approach ⋮ Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities ⋮ VAR and CTE Criteria for Optimal Quota-Share and Stop-Loss Reinsurance

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