Combining Quota-Share and Excess of Loss Treaties on the Reinsurance of n Independent Risks
Combining Quota-Share and Excess of Loss Treaties on the Reinsurance of n Independent Risks
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DOI：
10.2143/ast.21.1.2005400
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发表时间：
1991-04
期刊：
影响因子：
--
通讯作者：
L. Centeno;O. Simoes
中科院分区：
文献类型：
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作者：
L. Centeno;O. Simoes
在本文中，我们试图通过纯配额份额条约、纯超额损失条约或两者的任意组合，为打算对属于其投资组合的n个风险中的每一个进行再保险的保险公司找到最优保留额。选择最优方案的准则是使调整系数最大，同时考虑了该系数与Lundberg破产概率上界之间的关系。
Abstract In this paper, we seek to find the optimal retentions for an insurance company which intends to reinsure each of n risks belonging to its portfolio, by means of a pure quota-share treaty, a pure excess of loss treaty or any combination of the two. The criterion chosen to the selection of the optimal programme is the maximization of the adjustment coefficient, attending to the relationship existing between this coefficient and Lundberg's upper bound of the ruin probability.