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Optimal reinsurance and stop-loss order

โœ Scribed by Michel Denuit; Catherine Vermandele


Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
297 KB
Volume
22
Category
Article
ISSN
0167-6687

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โœฆ Synopsis


During the last two decades, the interest of the actuarial literature in the stochastic orderings has been growing to such a point that they become one of the most important tools to compare the riskiness of different random situations. Our purpose in this note is to derive new results about the optimal reinsurance coverages for the ceding company, when the optimality criterion consists in minimizing the retained risk with respect to the stop-loss order. We so slightly complete the study initiated in Van


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