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Miscellany

On the optimality of proportional reinsurance

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Pages 225-239 | Accepted 17 Jan 2005, Published online: 01 Sep 2006

References

References

  • Denuit , M and Vermandele , C . 1998 . Optimal reinsurance and stop-loss order . Insurance: Mathematics and Economics , 22 : 229 – 233 .
  • Bernegger , S . 1997 . The Swiss Re Exposure curves and the MBBEFD distributions class . Astin Bulletin , 27 : 99 – 111 .
  • Klugman SA Panjer HH Willmot GE 1998 Loss Models, Wiley
  • Dhaene , J and Vandebroek , M . 1995 . Recursions for the individual model . Insurance: Mathematics and Economics , 16 : 31 – 38 .
  • Panjer , HH . 1981 . Recursive evaluation of a family of compound distributions . Astin Bulletin , 12 : 22 – 26 .
  • Dufresne F Niederhauser E 1997 Some analytical approximations of stop-loss premiums Bulletin of the Swiss Association of Actuaries 25 47
  • de Finetti , B . 1940 . Il problema dei pieni . Giorn. Inst. Ital. Attuari , 11 : 1 – 88 .
  • Glineur F Walhin JF 2004 de Finetti's retention problem for proportional reinsurance revisited Unpublished manuscript

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