Insurer's optimal reinsurance strategies

Insurance: Mathematics and Economics

Volumn 27, Issue 1, 2000, Pages 105-112

  Gajek, Leslaw ^a   Zagrodny, Dariusz ^a  

^a UNIVERSITY OF LODZ   (Poland)

Author keywords

62C25, 49J55; 90A46, 62P05; Optimal reinsurance; Principles of premium calculation

Indexed keywords

EID: 0043211113     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(99)00063-3     Document Type: Article

References (5)

1. Bühlmann, H., 1970. Mathematical Methods in Risk Theory. Springer, New York.
2. Daykin, C.D., Pentikäinen, T., Pesonen, M., 1993. Practical Risk Theory for Actuaries. Chapman & Hall, London.
3. Deprez O., Gerber H. On convex principles of premium calculation. Insurance: Mathematics and Economics. 4:1985;179-189.
4. Ioffe, A.D., Tikhomirov, V.M., 1974. Theory of Extremal Problems. Nauka, Moscow (in Russian).
5. Peressini, A.L., Sullivan, F.E., Uhl, J.J., 1988. The Mathematics of Nonlinear Programming. Springer, New York.