Hostname: page-component-78c5997874-4rdpn Total loading time: 0 Render date: 2024-11-10T14:53:01.020Z Has data issue: false hasContentIssue false
  • English
  • Français

A Note on a Recent Paper by Zaks, Frostig and Levikson

Published online by Cambridge University Press:  17 April 2015

Klaus D. Schmidt
Klaus D. Schmidt*
Affiliation:
Lehrstuhl für Versicherungsmathematik, Technische Universität Dresden, D-01062 Dresden, E-mail: klaus.d.schmidt@tu-dresden.de
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

In the present paper we give a short proof of a result of Zaks, Frostig and Levikson [2006] on the solution of an optimization problem which is related to the problem of optimal pricing of a heterogeneous portfolio.

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 37 , Issue 2 , November 2007 , pp. 319 - 321
Copyright
Copyright © ASTIN Bulletin 2007

References

De Vylder, E.F. (1996) Advanced Risk Theory. Bruxelles: Editions de l’Université de Bruxelles.Google Scholar
Swartz, C. (1994) Measure, Integration and Function Spaces. New Jersey – London: World Scientific.CrossRefGoogle Scholar
Zaks, Y., Frosting, E., and Levikson, B. (2006) Optimal pricing of a heterogeneous portfolio for a given risk level. ASTIN Bulletin 36, 161–185.CrossRefGoogle Scholar