Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076476 | Insurance: Mathematics and Economics | 2015 | 14 Pages |
Abstract
Three main contributions seem to be reached. Firstly, necessary and sufficient optimality conditions are given in a very general setting. Secondly, the optimal contract is often a bang-bang solution, i.e., the sensitivity between the retained risk and the total claims saturates the imposed constraints. Thirdly, the optimal reinsurance problem is equivalent to other linear programming problem, despite the fact that risk, uncertainty, and many premium principles are not linear. This may be important because linear problems may be easily solved in practice, since there are very efficient algorithms.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Alejandro Balbás, Beatriz Balbás, Raquel Balbás, Antonio Heras,