Optimal combinational of quota-share and stop-loss reinsurance contracts under VaR and CTE with a constrained reinsurance premium
Author:
Publisher
Springer Science and Business Media LLC
Subject
Information Systems,Computer Science (miscellaneous)
Link
http://link.springer.com/content/pdf/10.1007/s11424-011-7127-3.pdf
Reference12 articles.
1. J. Cai and K. S. Tan, Optimal retention for a stop-loss reinsurance under the VaR and CTE risk measures, ASTIN Bulletin, 2007, 37(1): 93–112.
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3. L. Centeno, Excess of loss reinsurance and Gerber’s inequality in the Sparre Anderson model, Insurance Mathematics and Economics, 2002, 31: 415–427.
4. R. Verlaak and J. Beirlant, Optimal reinsurance programs: An optimal combination of several reinsurance protections on a heterogeneous insurance portfolio, Insurance: Mathematics and Economics, 2003, 33: 381–403.
5. L. Centeno, On combining quota-share and excess-of-loss, ASTIN Bulletin, 1985, 15(1): 49–63.
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