Optimal Reinsurance Retentions under Ruin-Related Optimization Criteria
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Date
2008-12-02T21:06:11Z
Authors
Li, Zhi
Journal Title
Journal ISSN
Volume Title
Publisher
University of Waterloo
Abstract
Quota-share and stop-loss/excess-of-loss reinsurances are two
important reinsurance strategies. An important question, both in
theory and in application, is to determine optimal retentions for
these reinsurances. In this thesis, we study the optimal retentions
of quota-share and stop-loss/excess-of-loss reinsurances under
ruin-related optimization criteria.
We attempt to balance the interest for a ceding company and a
reinsurance company and employ an optimization criterion that
considers the interests of both a cedent and a reinsurer. We also
examine the influence of interest, dividend, commission, expense,
and diffusion on reinsurance retentions.
Description
Keywords
Optimal Reinsurance