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Post by Sapphire Capital on Aug 5, 2008 22:13:23 GMT 4
An Extension of Arrow's Result on Optimal Reinsurance Contract Marek Kaluszka Andrzej Okolewski Journal of Risk & Insurance, Vol. 75, Issue 2, pp. 275-288, June 2008 Abstract: We consider the problem of finding reinsurance policies that maximize the expected utility, the stability and the survival probability of the cedent for a fixed reinsurance premium calculated according to the maximal possible claims principle. We show that the limited stop loss and the truncated stop loss are the optimal contracts. papers.ssrn.com/sol3/papers.cfm?abstract_id=1130003
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