کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9552836 | 1374152 | 2005 | 24 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Optimal reinsurance under convex principles of premium calculation
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
Suppose an insurer wants to have a reinsurance contract minimizing a convex measure of his retained risk or maximizing a utility function. Suppose the reinsurer's premium is fixed. The premium calculation principle of the reinsurer is a convex functional of his cover. Explicit forms of optimal reinsurance contracts are derived for some classes of convex principles including, among others, the exponential, p-mean value, semi-deviation, semi-variance, Dutch and Wang's principles. The paper is a continuation of the work of Kaluszka [Kaluszka, M., 2004. An extension of Arrow's result on optimality of a stop loss contract. Insur.: Math. Econ. 35, 527-536] which deals with mean-variance premium calculation principles.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 36, Issue 3, 24 June 2005, Pages 375-398
Journal: Insurance: Mathematics and Economics - Volume 36, Issue 3, 24 June 2005, Pages 375-398
نویسندگان
Marek Kaluszka,