On the optimal reinsurance problem

• Autorzy: Swen Kiesel , Ludger Rüschendorf
• Języki publikacji: EN

Abstrakty

EN

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.

Kategorie tematyczne

• 91G50: Corporate finance
• 91B30: Risk theory, insurance

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2013
• Tom: 40
• Numer: 3
• Strony: 259-280

Daty

wydano

2013

Twórcy

autor

Swen Kiesel

• Department of Mathematical Stochastics, University of Freiburg, Eckerstraße 1, 79104 Freiburg, Germany

autor

Ludger Rüschendorf

• Department of Mathematical Stochastics, University of Freiburg, Eckerstraße 1, 79104 Freiburg, Germany

Identyfikatory

DOI

10.4064/am40-3-1