How retention levels influence the variability of the total risk under reinsurance
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Volume (Year): 17 (2009)
Issue (Month): 1 (July)
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- Müller, Alfred & Scarsini, Marco, 2000. "Some Remarks on the Supermodular Order," Journal of Multivariate Analysis, Elsevier, vol. 73(1), pages 107-119, April.
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- Massimo Marinacci & Luigi Montrucchio, 2005. "Ultramodular Functions," Mathematics of Operations Research, INFORMS, vol. 30(2), pages 311-332, May.
- Massimo Marinacci & Luigi Montrucchio, 2003. "Ultramodular functions," ICER Working Papers - Applied Mathematics Series 13-2003, ICER - International Centre for Economic Research.
- Cai, Jun & Tan, Ken Seng, 2007. "Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 37(01), pages 93-112, May.
- de Vylder, F. & Goovaerts, M., 1983. "Best bounds on the stop loss premium in case of known range, expectation, variance and mode of the risk," Insurance: Mathematics and Economics, Elsevier, vol. 2(4), pages 241-249, October.
- DENUIT, Michel & SAILLET, Olivier, 2001. "Nonparametric Tests for Positive Quadrant Dependence," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2001009, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 01 Apr 2001.
- Michel Denuit, 2004. "Nonparametric Tests for Positive Quadrant Dependence," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(3), pages 422-450. Full references (including those not matched with items on IDEAS)
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