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Optimal retention levels, given the joint survival of cedent and reinsurer
16 references·3 citing·42 second hop
Optimal retention levels, given the joint survival of cedent and reinsurer (2004)Optimal retention levels, given the joint…Insurance: Mathematics and Economics (2004)Insurance: Mathematics and Ec…Optimal dynamic reinsurance policies for large insurance portfolios (2003)Optimal dynamic reinsurance p…Perspectives of Risk Sharing (2002)Perspectives of Risk SharingOn minimizing the ruin probability by investment and reinsurance (2002)On minimizing the ruin probab…Optimal reinsurance under mean-variance premium principles (2001)Optimal reinsurance under mea…Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Optimal Proportional Reinsura…Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation (2000)Optimal risk control and divi…Insurer’s optimal reinsurance strategies (2000)Insurer’s optimal reinsurance…The probability of ruin in finite time with discrete claim size distribution (1997)The probability of ruin in fi…Reinsurance and ruin (1996)Reinsurance and ruinNon-Life Insurance Mathematics (1988)Non-Life Insurance MathematicsThe General Economic Premium Principle (1984)The General Economic Premium …An Economic Premium Principle (1980)An Economic Premium PrincipleMathematical Methods in Risk Theory. (1971)Mathematical Methods in Risk …The optimal reinsurance treaty (1969)The optimal reinsurance treatyReciprocal Reinsurance Treaties (1960)Reciprocal Reinsurance Treati…On Pareto-optimal reinsurance with constraints under distortion risk measures (2017)On Pareto-optimal reinsurance…Optimal joint survival reinsurance: An efficient frontier approach (2010)Optimal joint survival reinsu…Lee-Carter mortality forecasting: application to the Italian population (2005)Lee-Carter mortality forecast…The Bargaining Problem (1950)Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine (1953)Cooperative Game Theory and its Insurance Applications (1991)On the optimal risk allocation problem (2006)Robust reinsurance contracts with uncertainty about jump risk (2017)Theory of games and economic behavior (2019)An introduction to mathematical risk theory (1979)Aspects of Risk Theory (1991)Optimal risk and dividend distribution control models for an insurance company (2000)Controlled Markov Processes and Viscosity Solutions (2005)OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR‐LUNDBERG MODEL (2005)Strategies for Dividend Distribution: A Review (2009)Optimal Investment for an Insurer to Minimize Its Probability of Ruin (2004)Brownian Motion and Stochastic Calculus (2007)On reinsurance and investment for large insurance portfolios (2007)Constant elasticity of variance model for proportional reinsurance and investment strategies (2010)Point Processes and Queues (1981)Stochastic Processes for Insurance and Finance (1999)Stochastic Processes for Insurance and Finance (2001)Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Optimal investment for insurer with jump-diffusion risk process (2005)Optimality results for dividend problems in insurance (2009)Modelling Extremal Events (1997)Optimal reinsurance with general risk measures (2008)Optimal Reinsurance Revisited – A Geometric Approach (2010)Optimal Reinsurance under VaR and CVaR Risk Measures: A Simplified Approach (2010)Theory of Value: An Axiomatic Analysis of Economic Equilibrium (1960)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)Utility Functions (1998)Actuarial versus Financial Pricing of Insurance (2000)Weighted risk capital allocations (2008)Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models (1984)Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013)Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)An Application of Extreme Value Theory for Measuring Financial Risk (2006)Models for construction of multivariate dependence – a comparison study (2008)On convex principles of premium calculation (1985)A Universal Framework for Pricing Financial and Insurance Risks (2002)Insurance Risk and Ruin (2005)Controlled diffusion models for optimal dividend pay-out (1997)AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT (2007)
this work references cited by second hop

References

  • 2004Insurance: Mathematics and Economics1,308 cited
  • 1971Mathematical Methods in Risk Theory.494 cited
  • 2002On minimizing the ruin probability by investment and reinsurance333 cited
  • 1980An Economic Premium Principle332 cited
  • 2001Optimal Proportional Reinsurance Policies in a Dynamic Setting271 cited
  • 2000Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation252 cited
  • 2001Optimal reinsurance under mean-variance premium principles190 cited
  • 1984The General Economic Premium Principle173 cited
  • 2003Optimal dynamic reinsurance policies for large insurance portfolios130 cited
  • 1960Reciprocal Reinsurance Treaties129 cited
  • 1997The probability of ruin in finite time with discrete claim size distribution110 cited
  • 1969The optimal reinsurance treaty101 cited
  • 2002Perspectives of Risk Sharing101 cited
  • 1988Non-Life Insurance Mathematics81 cited
  • 1996Reinsurance and ruin68 cited
  • 2000Insurer’s optimal reinsurance strategies65 cited

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Cited by

  • 2010Optimal joint survival reinsurance: An efficient frontier approach39 cited
  • 2017On Pareto-optimal reinsurance with constraints under distortion risk measures37 cited
  • 2005Lee-Carter mortality forecasting: application to the Italian population12 cited