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The optimal reinsurance strategy – the individual claim case. (English) Zbl 1231.91151

Summary: This paper is concerned with the optimal form of reinsurance when the cedent seeks to maximize the adjustment coefficient of the retained risk (related to the probability of ultimate ruin) – which we prove to be equivalent to maximizing the expected utility of wealth, with respect to an exponential utility with a certain coefficient of risk aversion-and restricts the reinsurance strategies to functions of the individual claims, which is the case for most nonproportional treaties placed in the market.

MSC:

91B30 Risk theory, insurance (MSC2010)
93E20 Optimal stochastic control
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