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Insurer’s optimal reinsurance strategies. (English) Zbl 0964.62099

Summary: The problem of finding an optimal insurer’s strategy of purchasing reinsurance is considered under the standard deviation calculation principles. It is assumed that the strategy must satisfy several kinds of constraints. The optimal reinsurance contract is found out.

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
91B30 Risk theory, insurance (MSC2010)
62C25 Compound decision problems in statistical decision theory
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References:

[1] Bühlmann, H., 1970. Mathematical Methods in Risk Theory. Springer, New York.; Bühlmann, H., 1970. Mathematical Methods in Risk Theory. Springer, New York.
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[3] Deprez, O.; Gerber, H., On convex principles of premium calculation, Insurance: Mathematics and Economics, 4, 179-189 (1985) · Zbl 0579.62090
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