Optimal Reinsurance for Variance Related Premium Calculation Principles 1
Optimal Reinsurance for Variance Related Premium Calculation Principles 1
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DOI：
10.2143/ast.40.1.2049220
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发表时间：
2010-05
期刊：
影响因子：
--
通讯作者：
M. Guerra;M. D. L. Centeno
中科院分区：
文献类型：
--
作者：
M. Guerra;M. D. L. Centeno
本文从分保公司的角度研究了当分保公司寻求自留风险调整系数最大化，且再保险负担是方差的增函数时，分保公司的最优再保险形式的数值计算。我们将最优交易与最佳止损策略进行比较。与最佳止损协议相比，最佳安排可以提供调整系数的显著改善。此外，在选择留存额方面，它比止损条约要稳健得多。
Abstract This paper deals with numerical computation of the optimal form of reinsurance from the ceding company point of view, when the cedent seeks to maximize the adjustment coefficient of the retained risk and the reinsurance loading is an increasing function of the variance. We compare the optimal treaty with the best stop loss policy. The optimal arrangement can provide a significant improvement in the adjustment coefficient when compared to the best stop loss treaty. Further, it is substantially more robust with respect to choice of the retention level than stop-loss treaties.