Optimal proportional reinsurance from the point of view of cedent and reinsurer

DOI10.1080/03461238.2016.1148627zbMath1401.91126OpenAlexW2336694801MaRDI QIDQ4575471

Gabriella Marcarelli, Nicolino Ettore D'Ortona

Publication date: 13 July 2018

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

Full work available at URL: https://doi.org/10.1080/03461238.2016.1148627

zbMATH Keywords

Pareto optimalityexpected utilityreinsurancecompound Poisson distributionindifference pricing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Utility theory (91B16)

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Cites Work

• Are quantile risk measures suitable for risk-transfer decisions?
• Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
• Optimal reinsurance under variance related premium principles
• Unnamed Item

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