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How Much Is Optimal Reinsurance Degraded by Error?

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      <subfield code="a">Wang, Yinzhi</subfield>
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      <subfield code="a">How Much Is Optimal Reinsurance Degraded by Error?</subfield>
      <subfield code="c">Yinzhi Wang, Erik Bølviken</subfield>
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      <subfield code="a">Estimation error reduces reinsurance optimality under a fitted model to suboptimality under the true one. A mathematical formulation of this issue of degradation is offered and examined through asymptotics as the sample size n of the historical observations becoming infinite. Assuming economic or distortion pricing of reinsurance it is shown that the rate of degradation is either </subfield>
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      <subfield code="g">13/06/2022 Tomo 26 Número 2 - 2022 , p. 283-297</subfield>
      <subfield code="x">1092-0277</subfield>
      <subfield code="t">North American actuarial journal</subfield>
      <subfield code="d">Schaumburg : Society of Actuaries, 1997-</subfield>
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