Ruin theory with excess of loss reinsurance and reinstatements

DOI10.1016/J.AMC.2011.02.109zbMath1231.91136OpenAlexW1965806941MaRDI QIDQ548371

Sandra Haas, Hansjoerg Albrecher

Publication date: 28 June 2011

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://serval.unil.ch/notice/serval:BIB_9A0C8ADB5970

zbMATH Keywords

integral operatorreinsurancehigh-dimensional integrationfinite-time ruin probabilitypiecewise deterministic Markov process

Mathematics Subject Classification ID

Related Items (3)

Indifference pricing of reinsurance with reinstatements using coherent monetary criteria ⋮ Linearisation techniques and the dual algorithm for a class of mixed singular/continuous control problems in reinsurance. I: Theoretical aspects ⋮ Unnamed Item

Cites Work

• Unnamed Item
• Simulation methods in ruin models with nonlinear dividend barriers.
• Martingales and insurance risk
• Pricing Excess of Loss Reinsurance with Reinstatements
• Reinsurance
• The effect of excess of loss reinsurance with reinstatements on the cedent’s portfolio
• Some comments on the individual risk model and multivariate extension
• Optimal Premium Plans for Reinsurance with Reinstatements
• Excess of Loss Reinsurance with Reinstatements Revisited

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