✦ LIBER ✦

Optimal dynamic reinsurance

✍ Scribed by Michael Vogt

Book ID: 105635359
Publisher: Springer-Verlag
Year: 2004
Tongue: German
Weight: 615 KB
Volume: 26
Category: Article
ISSN: 1864-0281
DOI: 10.1007/bf02858083

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The problem of finding an optimal insurer's strategy of purchasing reinsurance is considered under the standard deviation calculation principles. It is assumed that the strategy must satisfy several kinds of constraints. The optimal reinsurance contract is found out.