Optimal reinsurance under convex principles of premium calculation

DOI10.1016/j.insmatheco.2005.02.004zbMath1120.62092OpenAlexW2048057892MaRDI QIDQ882862

Marek Kaluszka

Publication date: 24 May 2007

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.02.004

zbMATH Keywords

Utility functionInsuranceConvex premium principlesReinsuranceSemi-variance

Mathematics Subject Classification ID

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Cites Work

• On convex principles of premium calculation
• The Dutch premium principle
• Extensions of Ohlin's lemma with applications to optimal reinsurance structures
• Axiomatic characterization of insurance prices
• Insurance premia consistent with the market.
• Optimal reinsurance programs: an optimal combination of several reinsurance protections on a heterogeneous insurance portfolio.
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• Some mathematical aspects of reinsurance
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• Optimal insurance under Wang's premium principle.
• A synthesis of risk measures for capital adequacy
• An extension of Arrow's result on optimality of a stop loss contract
• Coherent Measures of Risk
• Optimal insurance and generalized deductibles
• Truncated Stop Loss as Optimal Reinsurance Agreement in One-period Models
• Utility Functions
• Optimal reinsurance under mean-variance premium principles
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