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Optimal Reinsurance with Positive Dependence
ρ(X ) = E [u(X )] u(x) is a convex function. For example u(x) = x2 – minimize variance; u(x) = eγx – ... – maximize utility of insurer’s wealth: u(x) = (x − E [X ])2+ – minimize semi-variance. Mean-Variance ...- Authors: Jun Cai
- Date: Jan 2012
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods; Reinsurance; Reinsurance>Coinsurance; Reinsurance>Stop-loss insurance
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Optimnal Risk Retention under Reciprocal Reinsurnace with Exponential Utility Functions
Optimnal Risk Retention under Reciprocal Reinsurnace with Exponential Utility Functions This ... SPEAKER: Ying Zhong, University of Waterloo CO-AUTHOR(S): Jun Cai, University of Waterloo ABSTRACT: One ...- Authors: Jun Cai, Ying Zhong
- Date: Jul 2010