Optimal reinsurance and stop-loss order

Insurance: Mathematics and Economics

Volumn 22, Issue 3, 1998, Pages 229-233

  Denuit, Michel ^a   Vermandele, Catherine ^a  

^a UNIVERSITÉ LIBRE DE BRUXELLES   (Belgium)

Author keywords

Convex order; Optimal reinsurance; Stop loss order

Indexed keywords

EID: 0032112949     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(97)00039-5     Document Type: Article

References (10)

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4. Goovaerts, M.J., Kaas, R., Van Heerwaarden, A.E., Bauwelinckx, T., 1990. Effective Actuarial Methods. North-Holland, Amsterdam.
5. Hürlimann, W., 1996. Improved analytical bounds for some risk quantities. ASTIN Bulletin 26, 185-199.
6. Kaas, R., Hesselager, O., 1995. Ordering claim size distributions and mixed Poisson probabilities. Insurance: Mathematics and Economics 17, 193-201.
7. Kaas, R., Van Heerwaarden, A.E., Goovaerts, M.J, 1994. Ordering of Actuarial Risks. CAIRE. Brussels.
8. Müller, A., 1996. Ordering of risks: A comparative study via stop-loss transforms. Insurance : Mathematics and Economics 17, 215-222.
9. Shaked, M., Shanthikumar, J.G., 1994. Stochastic Orders and their Applications. Academic Press, New York.
10. Van Heerwaarden, A.E., Kaas, R., Goovaerts, M.J., 1989. Optimal reinsurance in relation to ordering of risks. Insurance: Mathematics and Economics 8, 11-17.