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Optimal Premium Plans for Reinsurance with Reinstatements

Published online by Cambridge University Press:  17 April 2015

Klaus TH. Hess  and
Klaus D. Schmidt
Klaus TH. Hess
Affiliation:
Lehrstuhl für Versicherungsmathemetik, Technische Universität Dresden, D-01062 Dresden. E-mail: schmidt@math.tu-dresden.de
Klaus D. Schmidt
Affiliation:
Lehrstuhl für Versicherungsmathemetik, Technische Universität Dresden, D-01062 Dresden. E-mail: schmidt@math.tu-dresden.de
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Abstract

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The present paper is concerned with optimal premium plans for a reinsurance contract with reinstatements. In the reinsurance contract considered here, constant reinstatement premiums are due when the reinsurer’s loss exceeds certain bounds. For this reinsurance contract we examine the existence of a premium plan which minimizes the expected squared difference between the loss and the total premium income of the reinsurer. We show that an optimal premium plan exists, that it is unique, and that it satisfies the net premium principle.

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 34 , Issue 2 , November 2004 , pp. 299 - 313
Copyright
Copyright © ASTIN Bulletin 2004

References

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