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Reinsurance and ruin

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  • Dickson, David C. M.
  • Waters, Howard R.

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  • Dickson, David C. M. & Waters, Howard R., 1996. "Reinsurance and ruin," Insurance: Mathematics and Economics, Elsevier, vol. 19(1), pages 61-80, December.
    • Handle: RePEc:eee:insuma:v:19:y:1996:i:1:p:61-80
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    References listed on IDEAS

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    1. Dickson, David C. M., 1992. "On the distribution of the surplus prior to ruin," Insurance: Mathematics and Economics, Elsevier, vol. 11(3), pages 191-207, October.
    2. Dickson, David C.M. & dos Reis, Alfredo D. Egídio & Waters, Howard R., 1995. "Some Stable Algorithms in Ruin Theory and Their Applications," ASTIN Bulletin, Cambridge University Press, vol. 25(2), pages 153-175, November.
    3. Dickson, David C. M. & Waters, Howard R., 1993. "Gamma Processes and Finite Time Survival Probabilities," ASTIN Bulletin, Cambridge University Press, vol. 23(2), pages 259-272, November.
    4. Centeno, Lourdes, 1986. "Measuring the effects of reinsurance by the adjustment coefficient," Insurance: Mathematics and Economics, Elsevier, vol. 5(2), pages 169-182, April.
    5. De Vylder, F. & Goovaerts, M. J., 1988. "Recursive calculation of finite-time ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 7(1), pages 1-7, January.
    6. Dickson, David C. M. & Waters, Howard R., 1991. "Recursive Calculation of Survival Probabilities," ASTIN Bulletin, Cambridge University Press, vol. 21(2), pages 199-221, November.
    7. Waters, Howard R., 1983. "Some mathematical aspects of reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 2(1), pages 17-26, January.
    8. Panjer, Harry H., 1981. "Recursive Evaluation of a Family of Compound Distributions," ASTIN Bulletin, Cambridge University Press, vol. 12(1), pages 22-26, June.
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    Citations

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    Cited by:

    1. Nualart, David & Schoutens, Wim, 2000. "Chaotic and predictable representations for Lévy processes," Stochastic Processes and their Applications, Elsevier, vol. 90(1), pages 109-122, November.
    2. Schal, Manfred, 1998. "On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 75-91, May.
    3. Ekaterina Bulinskaya & Julia Gusak & Anastasia Muromskaya, 2015. "Discrete-time Insurance Model with Capital Injections and Reinsurance," Methodology and Computing in Applied Probability, Springer, vol. 17(4), pages 899-914, December.
    4. Arthur Charpentier, 2010. "Reinsurance, ruin and solvency issues: some pitfalls," Working Papers hal-00463381, HAL.
    5. Chonghu Guan & Zuo Quan Xu & Rui Zhou, 2020. "Dynamic optimal reinsurance and dividend-payout in finite time horizon," Papers 2008.00391, arXiv.org, revised Jun 2022.
    6. Helena Jasiulewicz, 2013. "Dyskretny proces ryzyka z uwzględnieniem reasekuracji i losowej stopy procentowej," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 31, pages 11-26.
    7. Sancho Salcedo-Sanz & Leo Carro-Calvo & Mercè Claramunt & Ana Castañer & Maite Mármol, 2014. "Effectively Tackling Reinsurance Problems by Using Evolutionary and Swarm Intelligence Algorithms," Risks, MDPI, vol. 2(2), pages 1-14, April.
    8. Castañer, A. & Claramunt, M.M. & Lefèvre, C., 2013. "Survival probabilities in bivariate risk models, with application to reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 632-642.
    9. Hojgaard, Bjarne & Taksar, Michael, 1998. "Optimal proportional reinsurance policies for diffusion models with transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 41-51, May.
    10. Cerqueti, Roy & Foschi, Rachele & Spizzichino, Fabio, 2009. "A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 59-64, August.
    11. Centeno, M.L. & Guerra, M., 2010. "The optimal reinsurance strategy -- the individual claim case," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 450-460, June.
    12. Anna Castañer & M.Mercè Claramunt & Maite Mármol, 2014. "Some optimization and decision problems in proportional reinsurance," UB School of Economics Working Papers 2014/310, University of Barcelona School of Economics.
    13. Helena Jasiulewicz & Wojciech Kordecki, 2015. "Ruin probability of a discrete-time risk process with proportional reinsurance and investment for exponential and Pareto distributions," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 25(3), pages 17-38.
    14. Kaishev, Vladimir K. & Dimitrova, Dimitrina S., 2006. "Excess of loss reinsurance under joint survival optimality," Insurance: Mathematics and Economics, Elsevier, vol. 39(3), pages 376-389, December.
    15. Muhsin Tamturk & Sergey Utev, 2019. "Optimal Reinsurance via Dirac-Feynman Approach," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 647-659, June.
    16. Anna Castañer & M. Claramunt & Maite Mármol, 2012. "Ruin probability and time of ruin with a proportional reinsurance threshold strategy," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(3), pages 614-638, October.
    17. Sancho Salcedo-Sanz & L. Carro-Calvo & Mercè Claramunt & Anna Castañer & Maite Marmol, 2013. "An Analysis of Black-box Optimization Problems in Reinsurance: Evolutionary-based Approaches," Working Papers XREAP2013-04, Xarxa de Referència en Economia Aplicada (XREAP), revised May 2013.
    18. El Attar Abderrahim & El Hachloufi Mostafa & Guennoun Zine El Abidine, 2017. "An Inclusive Criterion For An Optimal Choice Of Reinsurance," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(04), pages 1-22, December.
    19. Abouzar Bazyari, 2023. "On the Ruin Probabilities in a Discrete Time Insurance Risk Process with Capital Injections and Reinsurance," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(2), pages 1623-1650, August.

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