Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9552836 | Insurance: Mathematics and Economics | 2005 | 24 Pages |
Abstract
Suppose an insurer wants to have a reinsurance contract minimizing a convex measure of his retained risk or maximizing a utility function. Suppose the reinsurer's premium is fixed. The premium calculation principle of the reinsurer is a convex functional of his cover. Explicit forms of optimal reinsurance contracts are derived for some classes of convex principles including, among others, the exponential, p-mean value, semi-deviation, semi-variance, Dutch and Wang's principles. The paper is a continuation of the work of Kaluszka [Kaluszka, M., 2004. An extension of Arrow's result on optimality of a stop loss contract. Insur.: Math. Econ. 35, 527-536] which deals with mean-variance premium calculation principles.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Marek Kaluszka,