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Optimal reinsurance under convex principles of premium calculation

  • Kaluszka, Marek
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    File URL: http://www.sciencedirect.com/science/article/B6V8N-4G9R1D4-1/2/341d4680940d29f1b8c29d2741e57e12
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    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 36 (2005)
    Issue (Month): 3 (June)
    Pages: 375-398

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    Handle: RePEc:eee:insuma:v:36:y:2005:i:3:p:375-398
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505554

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    1. Deprez, Olivier & Gerber, Hans U., 1985. "On convex principles of premium calculation," Insurance: Mathematics and Economics, Elsevier, vol. 4(3), pages 179-189, July.
    2. Castagnoli, Erio & Maccheroni, Fabio & Marinacci, Massimo, 2002. "Insurance premia consistent with the market," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 267-284, October.
    3. Waters, Howard R., 1983. "Some mathematical aspects of reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 2(1), pages 17-26, January.
    4. Verlaak, Robert & Beirlant, Jan, 2003. "Optimal reinsurance programs: An optimal combination of several reinsurance protections on a heterogeneous insurance portfolio," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 381-403, October.
    5. van Heerwaarden, A. E. & Kaas, R., 1992. "The Dutch premium principle," Insurance: Mathematics and Economics, Elsevier, vol. 11(2), pages 129-133, August.
    6. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    7. Lynn Wirch, Julia & Hardy, Mary R., 1999. "A synthesis of risk measures for capital adequacy," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 337-347, December.
    8. Wang, Shaun S. & Young, Virginia R. & Panjer, Harry H., 1997. "Axiomatic characterization of insurance prices," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 173-183, November.
    9. 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.
    10. Kaluszka, Marek, 2001. "Optimal reinsurance under mean-variance premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 28(1), pages 61-67, February.
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