Reinsurance arrangements maximizing insurer's survival probability

被引：40

作者：

Gajek, L

Zagrodny, D

机构：

[1] Tech Univ Lodz, Math Inst, PL-93005 Lodz, Poland

[2] Cardinal Stefan Wyszynski Univ, Fac Math, PL-01815 Warsaw, Poland

来源：

JOURNAL OF RISK AND INSURANCE | 2004年 / 71卷 / 03期

关键词：

D O I：

10.1111/j.0022-4367.2004.00097.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The article concerns the problem of purchasing a reinsurance policy that maximizes the survival probability of the insurer. Explicit forms of the contracts optimal for the insurer are derived which are stop loss or truncated stop loss depending on the initial surplus, a quota to be spend on reinsurance and pricing rules of both the insurer and the reinsurer.

引用

页码：421 / 435

页数：15

共 14 条

[1]

AMSLER MH, 1993, B SWISS ASS ACTUARIE, V91, P33

[2] ALTERNATIVE APPROACHES TO THE THEORY OF CHOICE IN RISK-TAKING SITUATIONS [J].