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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

Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
90 KB
Volume
20
Category
Article
ISSN
0167-6687

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✦ Synopsis

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 to the constraint of a fixed level of expected profit. In this presentation the criterion for optimality is minimizing the probability of ruin, either in discrete or continuous time. The author investigates this problem through a series of case studies based on a real portfolio.

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