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Truncated linear zero utility pricing and actuarial protection models

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Publication:5422785
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DOI10.1007/BF02809053zbMath1359.62449MaRDI QIDQ5422785

Werner Hürlimann

Publication date: 30 October 2007

Published in: Blätter der DGVFM (Search for Journal in Brave)



Mathematics Subject Classification ID

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





Cites Work

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  • Orderings of risks through loss ratio
  • Non-optimality of a linear combination of proportional and non-proportional reinsurance
  • Best bounds for expected financial payoffs. II: Applications
  • The solution of Schmitter's simple problem: Numerical illustration
  • The bi-atomic uniform minimal solution of Schmitter's problem
  • Negative claim amounts, Bessel functions, linear programming and Miller's algorithm
  • The zero utility principle for scale families of risk distributions




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