Optimal reinsurance under mean-variance premium principles. (English) Zbl 1009.62096

Summary: We derive optimal reinsurance under premium principles based on the mean and variance of the reinsurer’s share of the total claim amount. Both global reinsurance and local reinsurance are studied. Examples considered include the standard deviation principle and variance principle.


62P05 Applications of statistics to actuarial sciences and financial mathematics
91B30 Risk theory, insurance (MSC2010)
Full Text: DOI


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