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Optimal Retention Levels in Dynamic Reinsurance Markets
Optimal Retention Levels in Dynamic Reinsurance Markets This paper analyzes the optimal retention level with a portfolio of insurance risks, and premiums invested in risk-free and risky assets.- Authors: Enrico Biffis
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving>Incorporate risk management; Technical Skills & Analytical Problem Solving>Process and technique refinement
- Topics: Modeling & Statistical Methods>Stochastic models; Reinsurance>Coinsurance