Some Results on Optimal Reinsurance in Terms of the Adjustment Coefficient

Hesselager, Ole

doi:10.1080/03461238.1990.10413873

Cited by 36 publications

(21 citation statements)

References 5 publications

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“…Theorem 4 is a generalization of the result obtained by Hesselager (1990). In his paper he proved a similar result under the constraint that the feasible reinsurance solutions had a fixed expected value.…”

Section: The Expected Value Principlementioning

confidence: 60%

“…Taking the maximization of the expected utility as the optimality criterion, Arrow (1963) proved a similar result in favour of the stop-loss contract. Hesselager (1990) proved that the stop-loss contract maximizes the adjustment coefficient, under the assumption that the reinsurance premium is calculated according to the expected value principle and the value of the reinsurance premium is fixed a priori.…”

Section: Introductionmentioning

confidence: 99%

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Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria

Guerra

Centeno

2008

Insurance: Mathematics and Economics

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Section: The Expected Value Principlementioning

confidence: 60%

Section: Introductionmentioning

confidence: 99%

Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria

Guerra

Centeno

2008

Insurance: Mathematics and Economics

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“…Note that the premium is calculated by means of the expected value principle in the model. However, other premium principles are used, for example, the variance principle (see, Waters [20], Hesselager [21]), there may be different from the result of Theorem 5. In general this is a complicated matter.…”

Section: Isrn Mathematical Analysismentioning

confidence: 99%

“…Again, we use the power transformation technique and variable change method to solve (63) with the boundary condition (21).…”

Section: Isrn Mathematical Analysismentioning

confidence: 99%

Optimization Problems of Excess-of-Loss Reinsurance and Investment under the CEV Model

2013

ISRN Mathematical Analysis

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We consider that the insurer purchases excess-of-loss reinsurance and invests its wealth in the constant elasticity of variance (CEV) stock market. We model risk process by Brownian motion with drift and study the optimization problem of maximizing the exponential utility of terminal wealth under the controls of excess-of-loss reinsurance and investment. Using stochastic control theory and power transformation technique, we obtain explicit expressions for the optimal polices and value function. We also show that the optimal excess-of-loss reinsurance is always better than optimal proportional reinsurance. Some numerical examples are given.

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“…Van Wouwe et al [47] determine the optimal level of excess-loss reinsurance in the case that the ultimate ruin probability is taken as stability criterion. The insurer's survival probability is also considered in [40] and [29], and more recently in [43], [44], [25], [39], [13] and [41]. Guerra and Centeno [28] obtain an optimal reinsurance policy by maximizing the insurer's expected utility.…”

Section: Introductionmentioning

confidence: 99%

Optimal stop-loss reinsurance: a dependence analysis

Castañer

Bielsa

2015

HJMS

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The stop-loss reinsurance is one of the most important reinsurance contracts in the insurance market. From the insurer point of view, it presents an interesting property: it is optimal if the criterion of minimizing the variance of the cost of the insurer is used. The aim of the paper is to contribute to the analysis of the stop-loss contract in one period from the point of view of the insurer and the reinsurer. Firstly, the influence of the parameters of the reinsurance contract on the correlation coefficient between the cost of the insurer and the cost of the reinsurer is studied. Secondly, the optimal stop-loss contract is obtained if the criterion used is the maximization of the joint survival probability of the insurer and the reinsurer in one period.

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Some Results on Optimal Reinsurance in Terms of the Adjustment Coefficient

Cited by 36 publications

References 5 publications

Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria

Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria

Optimization Problems of Excess-of-Loss Reinsurance and Investment under the CEV Model

Optimal stop-loss reinsurance: a dependence analysis

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