Some mathematical aspects of combining proportional and non-proportional reinsurance. (English) Zbl 0615.62133

Centeno, Lourdes

Insurance and risk theory, Proc. NATO Adv. Study Inst., Maratea/Italy 1985, NATO ASI Ser., Ser. C 171, 247-266 (1986).

[For the entire collection see Zbl 0587.00013.]
Author’s abstract: This paper considers optimal reinsurance forms and limits in cases where the insurer has a choice between a pure quota-share treaty and an excess of loss treaty, or any combination of the two, and also, though in less detail, the situation where the insurer has a choice between a pure quota-share treaty and a stop-loss treaty, or any combination of the two. Our criterion for optimality is divided in three groups: those involving moment functions of the retained risk, those involving the adjustment coefficient of the retained risk and those involving the expected utility (with respect to an exponential utility function) of the retained risk.

Reviewer: W.-R.Heilmann

MSC:

62P05

Applications of statistics to actuarial sciences and financial mathematics

Keywords:

quota reinsurance; optimal reinsurance; excess of loss; stop-loss; moment functions; adjustment coefficient; expected utility

Citations:

Zbl 0587.00013