Optimal Reinsurance under Expected Value Principle
نویسنده
چکیده
The paper concerns the problem how to purchase the reinsurance in order to make the insurer and the reinsurance company’s total risk to be least under the expected value principle. When the insurer and reinsurance company take arbitrary risk measures, sufficient conditions for optimality of reinsurance contract are given within the restricted class of admissible contracts. Further, the explicit forms of optimal reinsurance contract under several special risk measures are given, and the method to decide parameters as well. §
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