Optimal premium allocation under stop-loss insurance using exposure curves

DOI10.15672/hujms.889619OpenAlexW3210345431MaRDI QIDQ5074250

A. Sevtap Selcuk-Kestel, Ozenc Murat Mert

Publication date: 9 May 2022

Published in: Hacettepe Journal of Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15672/hujms.889619

zbMATH Keywords

risk measuresoptimal retentionstop-loss reinsuranceexposure curvesoptimal cappremium share

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)

Cites Work

• Optimal joint survival reinsurance: an efficient frontier approach
• Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
• Optimal reinsurance with general risk measures
• Insurer's optimal reinsurance strategies
• Optimal limited stop-loss reinsurance under VaR, TVaR, and CTE risk measures
• Stability advances in robust portfolio optimization under parallelepiped uncertainty
• Optimal stop-loss reinsurance: a dependence analysis
• Mean-Variance Optimal Reinsurance Arrangements
• Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
• OPTIMAL REINSURANCE FROM THE PERSPECTIVES OF BOTH AN INSURER AND A REINSURER

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