Optimality of excess-loss reinsurance under a mean–variance criterion
نویسندگان
چکیده
منابع مشابه
On Excess-of-loss Reinsurance
We analyze the distribution of the number of claims and the aggregate claim sizes in an excess-of-loss reinsurance contract based upon the use of point processes. We first deal with a single excess-of-loss situation with an extra upper bound on the coverage of individual claims. Subsequently the results are extended to a reinsurance chain with k partners.
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2017
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2017.05.001