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The zero utility principle for scale families of risk distributions

✍ Scribed by Dietmar Pfeifer; Bernd Heidergott

Book ID
112897956
Publisher
Springer-Verlag
Year
1996
Tongue
German
Weight
454 KB
Volume
22
Category
Article
ISSN
1864-0281

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πŸ“œ SIMILAR VOLUMES

084012 (M30) The zero utility principle
084012 (M30) The zero utility principle for scale families of risk distributions : Pfeifer D., Heidergott B. BlΓ€tter der Deutschen Gellschaft fΓΌr Versicherungsmathematik, Band XXII β€” heft 4, pp. 711–722
πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 79 KB

## 261 the criterion for optimality to minimizing the probability of ruin, either in discrete or continuous time. They investigate this problem through a series of case studies based on a real portfolio. Keyword~: reinsurance, optimal retention levels, finite time ruin, translated gamma process.