On the optimal reinsurance problem

Swen Kiesel, and Ludger Rüschendorf. "On the optimal reinsurance problem." Applicationes Mathematicae 40.3 (2013): 259-280. <http://eudml.org/doc/280034>.

@article{SwenKiesel2013,
abstract = {In this paper we consider the optimal reinsurance problem in endogenous form with respect to general convex risk measures ϱ and pricing rules π. By means of a subdifferential formula for compositions in Banach spaces we first characterize optimal reinsurance contracts in the case of one insurance taker and one insurer. In the second step we generalize the characterization to the case of several insurance takers. As a consequence we obtain a result saying that cooperation brings less risk compared to insurance takers acting individually. Our results extend previously known results from the literature.},
author = {Swen Kiesel, Ludger Rüschendorf},
journal = {Applicationes Mathematicae},
keywords = {risk measure; risk functional; unrestricted contract; restricted contract; optimal risk allocations; optimal reinsurance problem},
language = {eng},
number = {3},
pages = {259-280},
title = {On the optimal reinsurance problem},
url = {http://eudml.org/doc/280034},
volume = {40},
year = {2013},
}

TY - JOUR
AU - Swen Kiesel
AU - Ludger Rüschendorf
TI - On the optimal reinsurance problem
JO - Applicationes Mathematicae
PY - 2013
VL - 40
IS - 3
SP - 259
EP - 280
AB - In this paper we consider the optimal reinsurance problem in endogenous form with respect to general convex risk measures ϱ and pricing rules π. By means of a subdifferential formula for compositions in Banach spaces we first characterize optimal reinsurance contracts in the case of one insurance taker and one insurer. In the second step we generalize the characterization to the case of several insurance takers. As a consequence we obtain a result saying that cooperation brings less risk compared to insurance takers acting individually. Our results extend previously known results from the literature.
LA - eng
KW - risk measure; risk functional; unrestricted contract; restricted contract; optimal risk allocations; optimal reinsurance problem
UR - http://eudml.org/doc/280034
ER -