Truncated Stop Loss as Optimal Reinsurance Agreement in One-period Models

DOI10.2143/AST.35.2.2003456zbMath1156.62363OpenAlexW4246703227MaRDI QIDQ5490596

Marek Kaluszka

Publication date: 4 October 2006

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.35.2.2003456

Mathematics Subject Classification ID

Related Items (12)

Optimal risk transfers in insurance groups ⋮ Optimal reinsurance under convex principles of premium calculation ⋮ Optimal lower barrier on modified surplus process ⋮ Optimal non-life reinsurance under Solvency II regime ⋮ Are quantile risk measures suitable for risk-transfer decisions? ⋮ Optimal proportional reinsurance and investment with minimum probability of ruin ⋮ Optimal risk transfer under quantile-based risk measurers ⋮ OPTIMAL REINSURANCE FROM THE VIEWPOINTS OF BOTH AN INSURER AND A REINSURER UNDER THE CVAR RISK MEASURE AND VAJDA CONDITION ⋮ Optimal combinational of quota-share and stop-loss reinsurance contracts under VaR and CTE with a constrained reinsurance premium ⋮ Optimal reinsurance in the presence of counterparty default risk ⋮ On the existence of a representative reinsurer under heterogeneous beliefs ⋮ The role of a representative reinsurer in optimal reinsurance

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Aspects of risk theory
• Optimal dynamic reinsurance policies for large insurance portfolios
• Asymptotic ruin probabilities and optimal investment
• Optimal investment for investors with state dependent income, and for insurers
• On minimizing the ruin probability by investment and reinsurance
• Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example
• Stochastic optimization for the ruin probability
• Prospect Theory: An Analysis of Decision under Risk
• Equilibrium Pricing Transforms: New Results Using Buhlmann’s 1980 Economic Model
• A Unified Approach to Generate Risk Measures
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
• Optimal risk control for a large corporation in the presence of returns on investments

This page was built for publication: Truncated Stop Loss as Optimal Reinsurance Agreement in One-period Models