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dc.contributor.authorLi, Zhi 21:06:11 (GMT) 21:06:11 (GMT)
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.publisherUniversity of Waterlooen
dc.subjectOptimal Reinsuranceen
dc.titleOptimal Reinsurance Retentions under Ruin-Related Optimization Criteriaen
dc.typeDoctoral Thesisen
dc.subject.programActuarial Scienceen and Actuarial Scienceen
uws-etd.degreeDoctor of Philosophyen

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