Year: 2005
Type: article
Abstract: We consider several one-period reinsurance models and derive a rule which minimizes the ruin probability of the cedent for a fixed reinsurance risk premium. The premium is calculated according to the economic principle, generalized zero-utility principle, Esscher principle or mean-variance principles. It turns out that a truncated stop loss is an optimal treaty in the class of all reinsurance contracts. The result is also valid for models not involving ruin probability. An example is the Arrow model with the Kahneman-Tversky value function.
Source: Astin Bulletin
Author: Marek Kaluszka
Institution: Lodz University of Technology
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W2115473702