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Optimnal Risk Retention under Reciprocal Reinsurnace with Exponential Utility Functions
Retention under Reciprocal Reinsurnace with Exponential Utility Functions This is the abstract for the paper ... paper on optimal risk retention under reciprocal reinsurance with exponential utility functions. Abstract; ...- Authors: Jun Cai, Ying Zhong
- Date: Jul 2010
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A Risk Model when Premium Rate Depends on Claim Size
A Risk Model when Premium Rate Depends on Claim Size This paper considers a dependent classical risk ... in which the premium rate is determined by the amount of the previous claim. From the Actuarial ...- Authors: Jun Cai, Ming Zhou
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Financial Reporting & Accounting>Statutory accounting; Modeling & Statistical Methods>Value at risk - Modeling & Statistical Methods
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Optimal Investment Policies and Optimal Reinsurance for an Insurer
approximation to find the optimal dynamic reinsurance retention together with the optimal dynamic investment ... to maximize the expected exponential utility at a fixed terminal time or to minimize the ruin probability ...- Authors: Jun Cai, Shujin Wu
- Date: Nov 2008