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Optimal Reinsurance Retentions under Ruin-Related Optimization Criteria

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Date

2008-12-02T21:06:11Z

Authors

Li, Zhi

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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.

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Keywords

Optimal Reinsurance

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