The optimal reinsurance strategy -- the individual claim case

DOI10.1016/j.insmatheco.2010.01.002zbMath1231.91151OpenAlexW1980194414MaRDI QIDQ659252

M. L. Centeno, Manuel C. Guerra

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.01.002

zbMATH Keywords

riskexpected utilityoptimal reinsuranceadjustment coefficientexponential utility functionconvex premium principlesKatz family

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Related Items

Optimal risk transfers in insurance groups ⋮ Optimal non-life reinsurance under Solvency II regime ⋮ Comparison of increasing directionally convex transformations of random vectors with a common copula ⋮ Optimal risk transfer under quantile-based risk measurers ⋮ Optimal reinsurance in the presence of counterparty default risk ⋮ Unnamed Item

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimal reinsurance under convex principles of premium calculation
• Optimal reinsurance under VaR and CTE risk measures
• Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria
• On convex principles of premium calculation
• Principles of optimal control theory. Translated from Russian by Karol Makowski. Translation editor Leonard D. Berkovitz
• Reinsurance and ruin
• Insurer's optimal reinsurance strategies
• An extension of Arrow's result on optimality of a stop loss contract
• Some Results on Optimal Reinsurance in Terms of the Adjustment Coefficient
• Optimal Reinsurance for Variance Related Premium Calculation Principles
• Bonus-malus Systems with Varying Deductibles
• Bonus-malus Systems in a Deregulated Environment: Forecasting Market Shares Using Diffusion Models
• A basic course in probability theory
• Optimal reinsurance under mean-variance premium principles