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Reinsurance arragements maximizing insurer's survival probability
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MAP20071505914
Gajek, Leslaw ‌
Reinsurance arragements maximizing insurer's survival probability / Leslaw Gajek, Dariusz Zagrodny
The article concerns the problem of purchasing a reinsurance policy that maximizes the survival probability of the insurer. Explicit forms of the contracts optimal for the insurer are derived which are stop loss depending on the initial surplus, a quota to be spend on reinsurance and pricing rules of both the insurer and the reinsurer
En: The Journal of risk and insurance. - Orlando. - Volume 71, number 3, September 2004 ; p. 421-435
1. Reaseguro ‌. 2. Matemática del seguro ‌. 3. Cálculo de probabilidades ‌. I. Zagrodny, Dariusz ‌. II. Título. III. Título: The Journal of risk and insurance.