Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process

Author： Zhang Lianzeng   Hu Xiang   Duan Baige  

Publisher： Taylor & Francis Ltd

E-ISSN： 1651-2030|2015|5|455-467

ISSN： 0346-1238

Source： Scandinavian Actuarial Journal, Vol.2015, Iss.5, 2015-07, pp. : 455-467

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Risk and return of reinsurance contracts under copula models

By Eling Martin   Toplek Denis  

The European Journal of Finance, Vol. 15, Iss. 7-8, 2009-10 ,pp. : 751-775

Routledge Ltd

Access to resources Recommend Favorite

Optimal investment-reinsurance with dynamic risk constraint and regime switching

By Liu Jingzhen  

Scandinavian Actuarial Journal, Vol. 2013, Iss. 4, 2013-07 ,pp. : 263-285

Taylor & Francis Ltd

Access to resources Recommend Favorite

A model of optimal portfolio selection under liquidity risk and price impact

By Ly Vath Vathana  

Finance and Stochastics, Vol. 11, Iss. 1, 2007-01 ,pp. : 51-90

Springer Publishing Company

Access to resources Recommend Favorite

Asymptotics for large claims reinsurance in a time-dependent renewal risk model

By Li Jinzhu  

Scandinavian Actuarial Journal, Vol. 2015, Iss. 2, 2015-02 ,pp. : 172-183

Taylor & Francis Ltd

Access to resources Recommend Favorite

Minimising expected discounted capital injections by reinsurance in a classical risk model

By Eisenberg Julia   Schmidli Hanspeter  

Scandinavian Actuarial Journal, Vol. 2011, Iss. 3, 2011-09 ,pp. : 155-176

Taylor & Francis Ltd

Access to resources Recommend Favorite