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Optimal reinsurance programs: An optimal combination of several reinsurance protections on a heterogeneous insurance portfolio

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  • Verlaak, Robert
  • Beirlant, Jan
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-49SWDCK-1/2/1ba69049e3c227e0ded43f6e66a9d6a4
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    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 33 (2003)
    Issue (Month): 2 (October)
    Pages: 381-403

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    Handle: RePEc:eee:insuma:v:33:y:2003:i:2:p:381-403

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    Web page: http://www.elsevier.com/locate/inca/505554

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    1. Centeno, Maria de Lourdes, 2002. "Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Anderson model," Insurance: Mathematics and Economics, Elsevier, vol. 30(1), pages 37-49, February.
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    Cited by:
    1. Asimit, Alexandru V. & Badescu, Alexandru M. & Cheung, Ka Chun, 2013. "Optimal reinsurance in the presence of counterparty default risk," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 690-697.
    2. Kaluszka, Marek, 2005. "Optimal reinsurance under convex principles of premium calculation," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 375-398, June.
    3. 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, vol. 20(3), pages 614-638, October.
    4. Elena Veprauskaite & Michael Sherris, 2012. "An Analysis of Reinsurance Optimisation in Life," Working Papers 201204, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales.
    5. 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.
    6. Dimitrova, Dimitrina S. & Kaishev, Vladimir K., 2010. "Optimal joint survival reinsurance: An efficient frontier approach," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 27-35, August.
    7. Asimit, Alexandru V. & Badescu, Alexandru M. & Verdonck, Tim, 2013. "Optimal risk transfer under quantile-based risk measurers," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 252-265.

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