Abstract:Optimal reinsurance when Value at Risk and expected surplus is balanced through their ratio is studied, and it is demonstrated how results for risk-adjusted surplus can be utilized. Simplifications for large portfolios are derived, and this large-portfolio study suggests a new condition on the reinsurance pricing regime which is crucial for the results obtained. One or two layer contracts now become optimal for both risk-adjusted surplus and the risk over expected surplus ratio, but there is no second layer wh… Show more
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