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An Introduction to Collective Risk Theory and its Application to Stop-Loss Reinsurance
two kinds, external risks such as heavy excess mortality resulting from wars and epidemics, and the risk ... completely, and the values of G(y, t) are shown in Table 1 by way of example. The details are left to the ...- Authors: Ernest A Arvanitis, Russell M Collins, Paul H Jackson, Robert C Tookey, Paul Markham Kahn, Herbert L Feay
- Date: Oct 1962
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Transactions of the SOA
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Stochastic models; Reinsurance>Stop-loss insurance
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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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Adjustment Coefficient in the Sparre Anderson Model with Reinsurance
and infinitesimal variance 2D > 0. Independent of S(t) and W (t) ∼ N(0,2Dt) 4 {Xi}∞i=1: claim amount ... insurer’s expenses rate. c: commission payment rate. u: non-negative initial surplus. 5 2. Assumptions ...- Authors: Zhi Li
- Date: Jan 2006
- Competency: Results-Oriented Solutions; Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods; Reinsurance; Reinsurance>Catastrophe reinsurance; Reinsurance>Coinsurance; Reinsurance>Stop-loss insurance