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Dependent risks and excess of loss reinsurance

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  • de Lourdes Centeno, Maria

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  • de Lourdes Centeno, Maria, 2005. "Dependent risks and excess of loss reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 229-238, October.
  • Handle: RePEc:eee:insuma:v:37:y:2005:i:2:p:229-238
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    Cited by:

    1. Yuen, Kam Chuen & Liang, Zhibin & Zhou, Ming, 2015. "Optimal proportional reinsurance with common shock dependence," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 1-13.
    2. Meng, Hui & Zhou, Ming & Siu, Tak Kuen, 2016. "Optimal reinsurance policies with two reinsurers in continuous time," Economic Modelling, Elsevier, vol. 59(C), pages 182-195.
    3. Furman, Edward & Landsman, Zinoviy, 2010. "Multivariate Tweedie distributions and some related capital-at-risk analyses," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 351-361, April.
    4. Meng, Hui & Siu, Tak Kuen, 2011. "On optimal reinsurance, dividend and reinvestment strategies," Economic Modelling, Elsevier, vol. 28(1-2), pages 211-218, January.
    5. Caroline Hillairet & Ying Jiao, 2017. "Pricing formulae for derivatives in insurance using the Malliavin calculus," Working Papers 2017-75, Center for Research in Economics and Statistics.
    6. Bermúdez i Morata, Lluís, 2009. "A priori ratemaking using bivariate Poisson regression models," Insurance: Mathematics and Economics, Elsevier, vol. 44(1), pages 135-141, February.
    7. Bai, Lihua & Cai, Jun & Zhou, Ming, 2013. "Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 664-670.
    8. Lluis Bermúdez i Morata, 2008. "A priori ratemaking using bivariate poisson regression models," Working Papers XREAP2008-09, Xarxa de Referència en Economia Aplicada (XREAP), revised Jul 2008.
    9. Bi, Junna & Liang, Zhibin & Xu, Fangjun, 2016. "Optimal mean–variance investment and reinsurance problems for the risk model with common shock dependence," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 245-258.
    10. Caroline Hillairet & Ying Jiao & Anthony R'eveillac, 2017. "Pricing formulae for derivatives in insurance using the Malliavin calculus," Papers 1707.05061, arXiv.org.
    11. Anna Castañer & M.Mercè Claramunt & Maite Mármol, 2014. "Some optimization and decision problems in proportional reinsurance," UB Economics Working Papers 2014/310, Universitat de Barcelona, Facultat d'Economia i Empresa, UB Economics.
    12. Guillén, Montserrat & Sarabia, José María & Prieto, Faustino, 2013. "Simple risk measure calculations for sums of positive random variables," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 273-280.
    13. Caroline Hillairet & Ying Jiao & Anthony Réveillac, 2017. "Pricing formulae for derivatives in insurance using the Malliavin calculus ," Working Papers hal-01561987, HAL.
    14. 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.
    15. Asimit, Alexandru V. & Furman, Edward & Vernic, Raluca, 2010. "On a multivariate Pareto distribution," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 308-316, April.

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