Worst-case-optimal dynamic reinsurance for large claims

European Actuarial Journal - Tập 2 Số 1 - Trang 21-48 - 2012
Ralf Korn1, Olaf Menkens2, Mogens Steffensen3
1Center for Mathematical and Computational Modelling (CM)2, Fachbereich Mathematik, Technische Universität Kaiserslautern, 67663, Kaiserslautern, Germany
2School of Mathematical Sciences, Dublin City University, Dublin 9, Ireland
3Department of Mathematical Sciences, University of Copenhagen, Copenhagen, Denmark

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