De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information
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DOI: 10.1016/j.insmatheco.2017.06.007
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- Florin Avram & Andras Horváth & Serge Provost & Ulyses Solon, 2019. "On the Padé and Laguerre–Tricomi–Weeks Moments Based Approximations of the Scale Function W and of the Optimal Dividends Barrier for Spectrally Negative Lévy Risk Processes," Risks, MDPI, vol. 7(4), pages 1-24, December.
- Cai, Jun & Liu, Fangda & Yin, Mingren, 2024. "Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance," European Journal of Operational Research, Elsevier, vol. 318(1), pages 310-326.
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Keywords
De Vylder approximation; Quota-share and excess of loss reinsurance; Optimal retention; Partial information; Ruin probability;All these keywords.
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