Insurer’s optimal reinsurance strategies

✍ Scribed by Lesław Gajek; Dariusz Zagrodny

• Book ID: 104300233
• Publisher: Elsevier Science
• Year: 2000
• Tongue: English
• Weight: 80 KB
• Volume: 27
• Category: Article
• ISSN: 0167-6687
• DOI: 10.1016/s0167-6687(99)00063-3

✦ Synopsis

The problem of finding an optimal insurer's strategy of purchasing reinsurance is considered under the standard deviation calculation principles. It is assumed that the strategy must satisfy several kinds of constraints. The optimal reinsurance contract is found out.