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Sur la determination d'un contrat optimal de reassurance

Published online by Cambridge University Press:  29 August 2014

Jean Lemaire
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Summary

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Ohlin [7] showed optimality properties of Stop Loss reinsurance when the ceding insurer uses a continuous loss function to evaluate his risks. We generalize this property to the range of the distribution; we then show that Stop Loss reinsurance is no longer the best form when the company uses a percentile parameter. Finally we prove an optimality theorem concerning chance games which allows us to determine the retention as a function of the size of the portfolio.

Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 7 , Issue 2 , September 1973 , pp. 165 - 180
Copyright
Copyright © International Actuarial Association 1974

References

Bibliographie

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