Dependent risks and excess of loss reinsurance

By M. D. L. Centeno. 2005

58 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/1ef8ac4c97439d29306fa04d79c6362400606cfe

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Zhibin Liang
2. Minghe Zhou
3. Kam Chuen Yuen
4. Junna Bi
5. Jun Cai

In Economics and Econometrics

1. Zhibin Liang
2. Kam Chuen Yuen
3. Minghe Zhou

In Management Science and Operations Research

1. Zhibin Liang
2. Minghe Zhou
3. Kam Chuen Yuen
4. Junna Bi
5. Jun Cai

Citations in the corpus

• Optimal proportional reinsurance with common shock dependence (2015, methodology): “In the single period model, under the criterion of maximizing the expected utility of terminal wealth and that of maximizing the adjustment coefficient, Centeno (2005) studies the optimal excess of loss retention limits for two dependent classes of insurance risks.”
• On a Multivariate Pareto Distribution (2010, unknown): “Grubel, 2005; Roger et al., 2005; Centeno, 2005; Furman, 2008; Furman and Landsman,”
• Optimal dynamic reinsurance with dependent risks: variance premium principle (2016, methodology): “In this paper, we may extend our work to the case of Centeno (2005) in which different safety loadings are used for the two classes of insurance business.”