Indifference pricing of reinsurance with reinstatements using coherent monetary criteria

DOI10.1007/s13385-020-00257-8zbMath1484.91390OpenAlexW3122781999MaRDI QIDQ825296

Nabil Kazi-Tani

Publication date: 17 December 2021

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-020-00257-8

zbMATH Keywords

convex risk measuresmonetary utility functionsreinstatementsinsurance premium calculationreinsurance layers

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Utility theory (91B16) Actuarial mathematics (91G05)

Cites Work

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• Optimal Premium Plans for Reinsurance with Reinstatements
• Excess of Loss Reinsurance with Reinstatements Revisited
• Spectra of some self-exciting and mutually exciting point processes

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