UWSpace is currently experiencing technical difficulties resulting from its recent migration to a new version of its software. These technical issues are not affecting the submission and browse features of the site. UWaterloo community members may continue submitting items to UWSpace. We apologize for the inconvenience, and are actively working to resolve these technical issues.
 

Optimal Reinsurance Retentions under Ruin-Related Optimization Criteria

Thumbnail Image

Files

Zhi-Thesis-revision.pdf (1.81 MB)

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

LC Keywords

Citation

URI

http://hdl.handle.net/10012/4123

Collections

Theses
Statistics and Actuarial Science