Journal article
A constraint-free approach to optimal reinsurance
Scandinavian Actuarial Journal, Vol.2019(1), pp.62-79
01/02/2019
DOI: 10.1080/03461238.2018.1488272
Abstract
Reinsurance is available for a reinsurance premium that is determined according to a convex premium principle H. The first insurer selects the reinsurance coverage that maximizes its expected utility. No conditions are imposed on the reinsurer's payment. The optimality condition involves the gradient of H. For several combinations of H and the first insurer's utility function, closed-form formulas for the optimal reinsurance are given. If H is a zero utility principle (for example, an exponential principle or an expectile principle), it is shown, by means of Borch's Theorem, that the optimal reinsurer's payment is a function of the total claim amount and that this function satisfies the so-called 1-Lipschitz condition. Frequently, authors impose these two conclusions as hypotheses at the outset.
Details
- Title: Subtitle
- A constraint-free approach to optimal reinsurance
- Creators
- Hans U Gerber - Department of Actuarial Science, Faculty of Business and Economics, University of LausanneElias S.W Shiu - Department of Statistics and Actuarial Science, The University of IowaHailiang Yang - Department of Statistics and Actuarial Science, The University of Hong Kong
- Resource Type
- Journal article
- Publication Details
- Scandinavian Actuarial Journal, Vol.2019(1), pp.62-79
- Publisher
- Taylor & Francis
- DOI
- 10.1080/03461238.2018.1488272
- ISSN
- 0346-1238
- eISSN
- 1651-2030
- Grant note
- HKU 17330816 / Principal Financial Group, Research Grants Council of the Hong Kong Special Administrative Region Society of Actuaries' Centers of Actuarial Excellence Research
- Language
- English
- Date published
- 01/02/2019
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9983985986002771
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