On Experience Rating and Optimal Reinsurance
نویسنده
چکیده
This paper presents applications of stochastic control theory in determining an insurer's optimal reinsurance and rating policy. Optimality is defined by means of variances of such variables as underwriting result of the insurer, solvency margins of the insurer and reinsurer and the premiums paid by policyholders.
منابع مشابه
Testing for Moral Hazard in Reinsurance Markets
TESTING FOR MORAL HAZARD IN REINSURANCE MARKETS Zhiqiang Yan ABSTRACT This paper tests for the existence of residual moral hazard in the three largest reinsurance markets in the United States for the period 1995-2000, and finds that (1) residual moral hazard does not exist in private passenger auto liability, product liability and overall reinsurance markets; (2) residual moral hazard might exi...
متن کاملOptimal reinsurance minimizing the distortion risk measure under general reinsurance premium principles
Recently the optimal reinsurance strategy concerning the insurer’s risk attitude and the reinsurance premium principle is an interesting topic. This paper discusses the optimal reinsurance problem with the insurer’s risk measured by distortion risk measure and the reinsurance premium calculated by a general principle including expected premium principle and Wang’s premium principle as its speci...
متن کاملOn Optimal Reinsurance Policy with Distortion Risk Measures and Premiums
In this paper, we consider the problem of optimal reinsurance design, when the risk is measured by a distortion risk measure and the premium is given by a distortion risk premium. First, we show how the optimal reinsurance design for the ceding company, the reinsurance company and the social planner can be formulated in the same way. Second, by introducing the “marginal indemnification function...
متن کاملOptimal Reinsurance under VaR and CTE Risk Measures
Let X denote the loss initially assumed by an insurer. In a reinsurance design, the insurer cedes part of its loss, say f(X), to a reinsurer, and thus the insurer retains a loss If (X) = X − f(X). In return, the insurer is obligated to compensate the reinsurer for undertaking the risk by paying the reinsurance premium. Hence, the sum of the retained loss and the reinsurance premium can be inter...
متن کاملTITLE: An empirical-based approach to optimal reinsurance
It is well-known that reinsurance can be an effective risk management technique for an insurer. An appropriate use of reinsurance reduces the adverse risk exposure of an insurer and improves the overall viability of the underlying business. The use of reinsurance, on the other hand, incurs additional cost to the insurer in the form of reinsurance premium. This implies that an insurer is faced w...
متن کامل