Reinsurance Arrangements Maximizing Insurer’s Survival Probability

Abstract
The article concerns the problem of purchasing a reinsurance policy that maximizes the survival probability of the insurer. Explicit forms of the contracts optimal for the insurer are derived which are stop loss or truncated stop loss depending on the initial surplus, a quota to be spend on reinsurance and pricing rules of both the insurer and the reinsurer.
Volume
Vol. 71, No. 3, September
Page
421-435
Year
2004
Categories
Actuarial Applications and Methodologies
Enterprise Risk Management
Processes
Treating/Exploiting Risks
Business Areas
Reinsurance
Aggregate Excess/Stop Loss
Actuarial Applications and Methodologies
Capital Management
Capital Requirements
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Reinsurance Analysis
Actuarial Applications and Methodologies
Regulation and Law
Solvency
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Publications
Journal of Risk and Insurance, The
Authors
Leslaw Gajek
Dariusz Zagrodny