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stat.AP2019
How much is optimal reinsurance degraded by error?
Yinzhi Wang, Erik Bølviken
The literature on optimal reinsurance does not deal with how much the effectiveness of such solutions is degraded by errors in parameters and models. The issue is investigated thro…
stat.AP2019★ 1 cited
Optimal reinsurance for risk over surplus ratios
Erik Bølviken, Yinzhi Wang
Optimal reinsurance when Value at Risk and expected surplus is balanced through their ratio is studied, and it is demonstrated how results for risk-adjusted surplus can be utilized…