Analysis of risk measures for reinsurance layers
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References listed on IDEAS
- Centeno, Lourdes, 1985. "On Combining Quota-Share and Excess of Loss," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 15(01), pages 49-63, April.
- Benktander, Gunnar & Ohlin, Jan, 1967. "A Combination of Surplus and Excess Reinsurance of a Fire Portfolio," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 4(02), pages 177-190, February.
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- Escudero, Laureano F. & Ortega, Eva-María, 2008. "Actuarial comparisons for aggregate claims with randomly right-truncated claims," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 255-262, October.
- Asimit, Alexandru V. & Jones, Bruce L., 2008. "Dependence and the asymptotic behavior of large claims reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 407-411, December.
- Kousky, Carolyn & Cooke, Roger M., 2009. "The Unholy Trinity: Fat Tails, Tail Dependence, and Micro-Correlations," Discussion Papers dp-09-36-rev.pdf, Resources For the Future.
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