Czasopismo
Tytuł artykułu
Autorzy
Warianty tytułu
Języki publikacji
Abstrakty
In this paper we consider the optimal reinsurance problem in endogenous form with respect to general convex risk measures ϱ and pricing rules π. By means of a subdifferential formula for compositions in Banach spaces we first characterize optimal reinsurance contracts in the case of one insurance taker and one insurer. In the second step we generalize the characterization to the case of several insurance takers. As a consequence we obtain a result saying that cooperation brings less risk compared to insurance takers acting individually. Our results extend previously known results from the literature.
Słowa kluczowe
Kategorie tematyczne
Czasopismo
Rocznik
Tom
Numer
Strony
259-280
Opis fizyczny
Daty
wydano
2013
Twórcy
autor
- Department of Mathematical Stochastics, University of Freiburg, Eckerstraße 1, 79104 Freiburg, Germany
autor
- Department of Mathematical Stochastics, University of Freiburg, Eckerstraße 1, 79104 Freiburg, Germany
Bibliografia
Typ dokumentu
Bibliografia
Identyfikatory
DOI
Identyfikator YADDA
bwmeta1.element.bwnjournal-article-doi-10_4064-am40-3-1