An Extension of Arrow's Result on Optimal Reinsurance Contract

We consider the problem of finding reinsurance policies that maximize the expected utility, the stability and the survival probability of the cedent for a fixed reinsurance premium calculated according to the maximal possible claims principle. We show that the limited stop loss and the truncated stop loss are the optimal contracts. Copyright (c) The Journal of Risk and Insurance, 2008.

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Year of publication:	2008
Authors:	Kaluszka, Marek ; Okolewski, Andrzej
Published in:	Journal of Risk & Insurance. - American Risk and Insurance Association - ARIA, ISSN 0022-4367. - Vol. 75.2008, 2, p. 275-288
Publisher:	American Risk and Insurance Association - ARIA

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005284890