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An Extension of the Gerber-Bühlmann-Jewell Conditions for Optimal Risk Sharing

Published online by Cambridge University Press:  17 April 2015

Marek Kaluszka
Marek Kaluszka*
Affiliation:
Institute of Mathematics, Technical University of Lodz, Ul. Zwirki 36, 90-924 Lodz Poland, E-mail: kaluszka@p.lodz.pl
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Abstract

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We provide necessary and sufficient conditions for optimality of mutual contracts for risk sharing under constraints on premiums or utility functions of participants of the agreement. These conditions are an extension of those of the Borch, Gerber and Bühlmann-Jewell ones. Some applications to optimal insurance contracts, optimal dividend sharing and optimal reinsurance are given.

Keywords

InsuranceLimited insuranceReinsuranceSharing risksDividends
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 34 , Issue 1 , May 2004 , pp. 27 - 48
Copyright
Copyright © ASTIN Bulletin 2004

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