A General Framework for Solving Optimal Reinsurance Problems

In this paper we develop what is to the best of our knowledge a new method for solving optimal reinsurance problems. Using the aforementioned method we are able to replicate the results of Bernard and Tian (2009), Cheung (2010) and Cai et al. (2008). The method however allows us to extend the results to other risk measures (besides VaR, CTE) and other premium principles (other than the expected value premium principle)

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Year of publication:	2010
Authors:	Ahcan, Ales
Publisher:	[S.l.] : SSRN
Subject:	Theorie \| Theory \| Rückversicherung \| Reinsurance \| Mathematische Optimierung \| Mathematical programming
Description of contents:	Abstract [papers.ssrn.com]

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Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 30, 2010 erstellt Volltext nicht verfügbar
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014191834