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An extension of Arrow's result on optimality of a stop loss contract

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  • Kaluszka, Marek

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  • Kaluszka, Marek, 2004. "An extension of Arrow's result on optimality of a stop loss contract," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 527-536, December.
    • Handle: RePEc:eee:insuma:v:35:y:2004:i:3:p:527-536
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    1. Borch, Karl, 1975. "Optimal Insurance Arrangements," ASTIN Bulletin, Cambridge University Press, vol. 8(3), pages 284-290, September.
    2. Berliner, B., 1977. "A Risk Measure Alternative to the Variance," ASTIN Bulletin, Cambridge University Press, vol. 9(1-2), pages 42-58, January.
    3. Kaluszka, Marek, 2001. "Optimal reinsurance under mean-variance premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 28(1), pages 61-67, February.
    4. Kaluszka, Marek, 2004. "An Extension of the Gerber-Bühlmann-Jewell Conditions for Optimal Risk Sharing," ASTIN Bulletin, Cambridge University Press, vol. 34(1), pages 27-48, May.
    5. Sandrine Spaeter & Patrick Roger, 1997. "The Design of Optimal Insurance Contracts: A Topological Approach," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 22(1), pages 5-19, June.
    6. van Heerwaarden, A. E. & Kaas, R., 1992. "The Dutch premium principle," Insurance: Mathematics and Economics, Elsevier, vol. 11(2), pages 129-133, August.
    7. MOSSIN, Jan, 1968. "Aspects of rational insurance purchasing," LIDAM Reprints CORE 23, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    8. Gajek, Leslaw & Zagrodny, Dariusz, 2004. "Optimal reinsurance under general risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 227-240, April.
    9. Deprez, Olivier & Gerber, Hans U., 1985. "On convex principles of premium calculation," Insurance: Mathematics and Economics, Elsevier, vol. 4(3), pages 179-189, July.
    10. Christian S. Pedersen & Stephen E. Satchell, 1998. "An Extended Family of Financial-Risk Measures," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 23(2), pages 89-117, December.
    11. Gajek, Leslaw & Zagrodny, Dariusz, 2000. "Insurer's optimal reinsurance strategies," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 105-112, August.
    12. Ohlin, Jan, 1969. "On a class of measures of dispersion with application to optimal reinsurance," ASTIN Bulletin, Cambridge University Press, vol. 5(2), pages 249-266, May.
    13. Van Heerwaarden, A. E. & Kaas, R. & Goovaerts, M. J., 1989. "Optimal reinsurance in relation to ordering of risks," Insurance: Mathematics and Economics, Elsevier, vol. 8(1), pages 11-17, March.
    14. Raviv, Artur, 1979. "The Design of an Optimal Insurance Policy," American Economic Review, American Economic Association, vol. 69(1), pages 84-96, March.
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    Cited by:

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    3. Zhu, Yunzhou & Zhang, Lixin & Zhang, Yi, 2013. "Optimal reinsurance under the Haezendonck risk measure," Statistics & Probability Letters, Elsevier, vol. 83(4), pages 1111-1116.
    4. Liyuan Lin & Fangda Liu & Jingzhen Liu abd Luyang Yu, 2023. "The optimal reinsurance strategy with price-competition between two reinsurers," Papers 2305.00509, arXiv.org.
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    6. Mi Chen & Wenyuan Wang & Ruixing Ming, 2016. "Optimal Reinsurance Under General Law-Invariant Convex Risk Measure and TVaR Premium Principle," Risks, MDPI, vol. 4(4), pages 1-12, December.
    7. Ghossoub, Mario, 2019. "Budget-constrained optimal insurance without the nonnegativity constraint on indemnities," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 22-39.
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    9. Bernard, Carole & Liu, Fangda & Vanduffel, Steven, 2020. "Optimal insurance in the presence of multiple policyholders," Journal of Economic Behavior & Organization, Elsevier, vol. 180(C), pages 638-656.
    10. Sung, K.C.J. & Yam, S.C.P. & Yung, S.P. & Zhou, J.H., 2011. "Behavioral optimal insurance," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 418-428.

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