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OPTIMAL PROPORTIONAL REINSURANCE UNDER DEPENDENT RISKS 被引量:2
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作者 Fengqing HU kam c yuen 《Journal of Systems Science & Complexity》 SCIE EI CSCD 2012年第6期1171-1184,共14页
This paper considers a correlated risk model with thinning-dependence structure. The au- thors investigate the optimal proportional reinsurance that maximizes the adjustment coefficient and the optimal proportional re... This paper considers a correlated risk model with thinning-dependence structure. The au- thors investigate the optimal proportional reinsurance that maximizes the adjustment coefficient and the optimal proportional reinsurance under mean variance principle for the proposed model. The au- thors derive the optimal solutions and the numerical illustrations to show the impact of the dependence among the classes of business on the optimal reinsurance arrangements. 展开更多
关键词 Adjustment coefficient mean-variance principle optimal proportional reinsurance thinning-dependence structure.
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