Arian Cani

University of Lausanne

Quartier Chambronne

Lausanne, Vaud CH-1015

Switzerland

  • University of Lausanne

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On Randomized Reinsurance Contracts

Swiss Finance Institute Research Paper No. 18-33
Number of pages: 31 Posted: 08 May 2018 Last Revised: 15 May 2018
Hansjoerg Albrecher and Arian Cani
University of Lausanne and University of Lausanne
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Abstract:

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optimal reinsurance, randomization, stop-loss treaties, cost of capital, mean-excess function