Karageyik, Başak Bulut; Şahin, Şule - In: Journal of risk and financial management : JRFM 10 (2017) 1, pp. 1-21
This paper deals with the optimal retention level under four competitive criteria: survival probability, expected profit, variance and expected shortfall of the insurer’s risk. The aggregate claim amounts are assumed to be distributed as compound Poisson, and the individual claim amounts are...