073037 (M52) - Links between premium principles and Reinsurance

092042 (M52, M15) Relative reinsurance r

092042 (M52, M15) Relative reinsurance retention levels : Dickson D., Presented at the International Workshop on The Interplay between Insurance, Finance and Control, organized by the Mathematical Research Centre at Aarhus University, also supported by the Danish Science Research Council and the Centre for Analytical Finance

📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 90 KB

The problem of determining optimal retention levels for a non-life portfolio consisting of a number of independent sub-portfolios was first discussed by de Finetti (1946). He considered retention levels to be optimal if they minimized the variance of the insurer's profit from the portfolio subject t