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Optimal non-proportional reinsurance control and stochastic differential games

✍ Scribed by Michael Taksar; Xudong Zeng

Book ID
108153185
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
331 KB
Volume
48
Category
Article
ISSN
0167-6687

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πŸ“œ SIMILAR VOLUMES

Non-optimality of a linear combination o
Non-optimality of a linear combination of proportional and non-proportional reinsurance
✍ W HΓΌrlimann πŸ“‚ Article πŸ“… 1999 πŸ› Elsevier Science 🌐 English βš– 78 KB

For the subclass of reinsurance contracts with maximum deductible contained in the class of all bivariate comonotonic riskexchange structures associated to a given risk, we consider optimality with respect to a long-term actuarial mean self-financing property and competitiveness of the insurance pre