Home >> Optimization, Volume 52, Number 6

An optimality of change loss type strategy

Author: Dariusz Zagrodny

Source: Optimization, Volume 52, Number 6, December 2003 , pp. 757-772(16)

Publisher: Taylor and Francis Ltd

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Abstract:

A reinsurance problem is presented as a convex programming problem in Hilbert setup. The explicit form of the solution as well as the optimal reinsurance strategy is obtained.

Keywords: Reinsurance; Convex programming; Change loss strategy

Document Type: Research article

DOI: http://dx.doi.org/10.1080/02331930310001637378

Affiliations: 1: Department of Mathematics Cardinal Stefan Wyszynski University Ul. Dewajtis 5 01-815 Warszawa Poland

Publication date: 2003-12-01

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