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Some mathematical aspects of reinsurance

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  • Waters, Howard R.

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  • Waters, Howard R., 1983. "Some mathematical aspects of reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 2(1), pages 17-26, January.
    • Handle: RePEc:eee:insuma:v:2:y:1983:i:1:p:17-26
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    Cited by:

    1. Schal, Manfred, 1998. "On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 75-91, May.
    2. Michael Preischl & Stefan Thonhauser, 2018. "Optimal Reinsurance for Gerber-Shiu Functions in the Cramer-Lundberg Model," Papers 1809.00990, arXiv.org.
    3. Arian Cani & Stefan Thonhauser, 2017. "An optimal reinsurance problem in the Cramér–Lundberg model," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(2), pages 179-205, April.
    4. Jong-Hag Jang, 2018. "An Empirical Analysis of the Property Catastrophe Reinsurance," International Business Research, Canadian Center of Science and Education, vol. 11(1), pages 170-183, January.
    5. Centeno, Maria de Lourdes, 2002. "Measuring the effects of reinsurance by the adjustment coefficient in the Sparre Anderson model," Insurance: Mathematics and Economics, Elsevier, vol. 30(1), pages 37-49, February.
    6. Preischl, M. & Thonhauser, S., 2019. "Optimal reinsurance for Gerber–Shiu functions in the Cramér–Lundberg model," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 82-91.
    7. Helu Xiao & Tiantian Ren & Yanfei Bai & Zhongbao Zhou, 2019. "Time-Consistent Investment-Reinsurance Strategies for the Insurer and the Reinsurer under the Generalized Mean-Variance Criteria," Mathematics, MDPI, vol. 7(9), pages 1-25, September.
    8. Li, Xiaohu & Shaked, Moshe, 2004. "The observed total time on test and the observed excess wealth," Statistics & Probability Letters, Elsevier, vol. 68(3), pages 247-258, July.
    9. Centeno, Maria de Lourdes, 2002. "Excess of loss reinsurance and Gerber's inequality in the Sparre Anderson model," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 415-427, December.
    10. Dickson, David C. M. & Waters, Howard R., 1996. "Reinsurance and ruin," Insurance: Mathematics and Economics, Elsevier, vol. 19(1), pages 61-80, December.
    11. Kaluszka, Marek, 2005. "Optimal reinsurance under convex principles of premium calculation," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 375-398, June.
    12. Anna Castañer & M. Claramunt & Maite Mármol, 2012. "Ruin probability and time of ruin with a proportional reinsurance threshold strategy," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(3), pages 614-638, October.

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