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Mean-variance optimal reinsurance arrangements. (English) Zbl 1117.62115

The aim of this paper is to derive optimal, from a cedant’s point of view, reinsurance arrangements balancing the risk measured by variance and expected gain under various mean-variance premium principles of the reinsurer. The author’s approach is related to the Markowitz methodology of optimal portfolios. It is proved that quota share, excess of loss or combination of excess of loss with quota share are optimal rules according to a fixed expected gain of cedants.

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
91B30 Risk theory, insurance (MSC2010)
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