Optimal Quota Share Reinsurance for Dependent Lines of Business

Abstract
In the present paper we study optimal quota reinsurance for a heterogeneous portfolio with possibly dependent lines of business. More precisely, we determine quotas which maximize the expected return when the variance of the retention is fixed or minimize the variance of the retention when the expected return is fixed. The results require only that the variance of the vector of losses of the different lines of business is regular.
Volume
Heft 2
Page
173-194
Year
2004
Categories
Business Areas
Reinsurance
Quota Share (Proportional);
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
RAROC
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Reinsurance Analysis
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
ROE
Actuarial Applications and Methodologies
Capital Management
Publications
Bulletin of the Swiss Association of Actuaries
Authors
Klaus D Schmidt