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Optimal reinsurance under convex principles of premium calculation

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  • Kaluszka, Marek

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  • Kaluszka, Marek, 2005. "Optimal reinsurance under convex principles of premium calculation," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 375-398, June.
    • Handle: RePEc:eee:insuma:v:36:y:2005:i:3:p:375-398
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    References listed on IDEAS

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    1. Venter, Gary G., 1991. "Premium Calculation Implications of Reinsurance Without Arbitrage," ASTIN Bulletin, Cambridge University Press, vol. 21(2), pages 223-230, November.
    2. Kaluszka, Marek, 2001. "Optimal reinsurance under mean-variance premium principles," Insurance: Mathematics and Economics, Elsevier, vol. 28(1), pages 61-67, February.
    3. Denneberg, Dieter, 1990. "Premium Calculation: Why Standard Deviation Should be Replaced by Absolute Deviation1," ASTIN Bulletin, Cambridge University Press, vol. 20(2), pages 181-190, November.
    4. Wang, Shaun, 1996. "Premium Calculation by Transforming the Layer Premium Density," ASTIN Bulletin, Cambridge University Press, vol. 26(1), pages 71-92, May.
    5. Castagnoli, Erio & Maccheroni, Fabio & Marinacci, Massimo, 2002. "Insurance premia consistent with the market," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 267-284, October.
    6. Hesselager, Ole, 1993. "Extensions of Ohlin's lemma with applications to optimal reinsurance structures," Insurance: Mathematics and Economics, Elsevier, vol. 13(1), pages 83-97, September.
    7. Wang, Shaun S. & Young, Virginia R. & Panjer, Harry H., 1997. "Axiomatic characterization of insurance prices," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 173-183, November.
    8. van Heerwaarden, A. E. & Kaas, R., 1992. "The Dutch premium principle," Insurance: Mathematics and Economics, Elsevier, vol. 11(2), pages 129-133, August.
    9. Deprez, Olivier & Gerber, Hans U., 1985. "On convex principles of premium calculation," Insurance: Mathematics and Economics, Elsevier, vol. 4(3), pages 179-189, July.
    10. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    11. Verlaak, Robert & Beirlant, Jan, 2003. "Optimal reinsurance programs: An optimal combination of several reinsurance protections on a heterogeneous insurance portfolio," Insurance: Mathematics and Economics, Elsevier, vol. 33(2), pages 381-403, October.
    12. Van Heerwaarden, A. E. & Kaas, R. & Goovaerts, M. J., 1989. "Optimal reinsurance in relation to ordering of risks," Insurance: Mathematics and Economics, Elsevier, vol. 8(1), pages 11-17, March.
    13. Lynn Wirch, Julia & Hardy, Mary R., 1999. "A synthesis of risk measures for capital adequacy," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 337-347, December.
    14. Waters, Howard R., 1983. "Some mathematical aspects of reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 2(1), pages 17-26, January.
    15. Kaluszka, Marek, 2005. "Truncated Stop Loss as Optimal Reinsurance Agreement in One-period Models," ASTIN Bulletin, Cambridge University Press, vol. 35(2), pages 337-349, November.
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