OPTIMAL REINSURANCE FOR VARIANCE RELATED PREMIUM CALCULATION PRINCIPLES

被引：23

作者：

Guerra, Manuel ^{[1
]}

Centeno, Maria de Lourdes ^{[2
]}

机构：

[1] CEOC, P-1200781 Lisbon, Portugal

[2] Univ Tecn Lisboa, ISEG,CEMAPRE, P-1200781 Lisbon, Portugal

来源：

ASTIN BULLETIN | 2010年 / 40卷 / 01期

关键词：

Adjustment coefficient; optimal reinsurance; stop loss; standard deviation premium principle; variance premium principle;

D O I：

10.2143/AST.40.1.2049220

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper deals with numerical computation of the optimal form of reinsurance from the ceding company point of view, when the cedent seeks to maximize the adjustment coefficient of the retained risk and the reinsurance loading is an increasing function of the variance. We compare the optimal treaty with the best stop loss policy. The optimal arrangement can provide a significant improvement in the adjustment coefficient when compared to the best stop loss treaty. Further, it is substantially more robust with respect to choice of the retention level than stop-loss treaties.

引用

页码：97 / 121

页数：25

共 7 条

[1]

ARROW KJ, 1963, AM ECON REV, V53, P941

[2]

Borch K., 1960, T 16 INT C ACT, VI, P597, DOI DOI 10.1017/S05150361000095572-S2.0-27244457311

[3] ON CONVEX PRINCIPLES OF PREMIUM CALCULATION [J].