Show simple item record

dc.contributor.authorLi, Zhi
dc.date.accessioned2008-12-02 21:06:11 (GMT)
dc.date.available2008-12-02 21:06:11 (GMT)
dc.date.issued2008-12-02T21:06:11Z
dc.date.submitted2008-11-19
dc.identifier.urihttp://hdl.handle.net/10012/4123
dc.description.abstractQuota-share and stop-loss/excess-of-loss reinsurances are two important reinsurance strategies. An important question, both in theory and in application, is to determine optimal retentions for these reinsurances. In this thesis, we study the optimal retentions of quota-share and stop-loss/excess-of-loss reinsurances under ruin-related optimization criteria. We attempt to balance the interest for a ceding company and a reinsurance company and employ an optimization criterion that considers the interests of both a cedent and a reinsurer. We also examine the influence of interest, dividend, commission, expense, and diffusion on reinsurance retentions.en
dc.language.isoenen
dc.publisherUniversity of Waterlooen
dc.subjectOptimal Reinsuranceen
dc.titleOptimal Reinsurance Retentions under Ruin-Related Optimization Criteriaen
dc.typeDoctoral Thesisen
dc.pendingfalseen
dc.subject.programActuarial Scienceen
uws-etd.degree.departmentStatistics and Actuarial Scienceen
uws-etd.degreeDoctor of Philosophyen
uws.typeOfResourceTexten
uws.peerReviewStatusUnrevieweden
uws.scholarLevelGraduateen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record


UWSpace

University of Waterloo Library
200 University Avenue West
Waterloo, Ontario, Canada N2L 3G1
519 888 4883

All items in UWSpace are protected by copyright, with all rights reserved.

DSpace software

Service outages