Optimal reinsurance policy : The adjustment coefficient and the expected utility criteria
Autor(a) principal: | |
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Data de Publicação: | 2008 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/27763 |
Resumo: | This paper is concerned with the optimal form of reinsurance from the ceding company point of view, when the cedent seeks to maximize the adjustment coefficient of the retained risk. We deal with the problem by exploring the relationship between maximizing the adjustment coefficient and maximizing the expected utility of wealth for the exponential utility function, both with respect to the retained risk of the insurer. Assuming that the premium calculation principle is a convex functional and that some other quite general conditions are fulfilled, we prove the existence and uniqueness of solutions and provide a necessary optimal condition. These results are used to find the optimal reinsurance policy when the reinsurance premium calculation principle is the expected value principle or the reinsurance loading is an increasing function of the variance. In the expected value case the optimal form of reinsurance is a stop-loss contract. In the other cases, it is described by a nonlinear function. |
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Optimal reinsurance policy : The adjustment coefficient and the expected utility criteriaOptimal ReinsuranceRiskStop LossRuin ProbabilityAdjustment CoefficientPremium PrinciplesExponential Utility FunctionThis paper is concerned with the optimal form of reinsurance from the ceding company point of view, when the cedent seeks to maximize the adjustment coefficient of the retained risk. We deal with the problem by exploring the relationship between maximizing the adjustment coefficient and maximizing the expected utility of wealth for the exponential utility function, both with respect to the retained risk of the insurer. Assuming that the premium calculation principle is a convex functional and that some other quite general conditions are fulfilled, we prove the existence and uniqueness of solutions and provide a necessary optimal condition. These results are used to find the optimal reinsurance policy when the reinsurance premium calculation principle is the expected value principle or the reinsurance loading is an increasing function of the variance. In the expected value case the optimal form of reinsurance is a stop-loss contract. In the other cases, it is described by a nonlinear function.ElsevierRepositório da Universidade de LisboaGuerra, ManuelCenteno, M. de Lourdes2023-05-12T18:03:27Z20082008-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27763engGuerra, Manuel and M. de Lourdes Centeno. (2008). “Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria”. Insurance: Mathematics and Economics, Vol. 42, Issue 2: pp. 529–539. (Search PDF in 2023).0167-668710.1016/j.insmatheco.2007.02.008info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-05-14T01:30:52Zoai:www.repository.utl.pt:10400.5/27763Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:52:02.454168Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Optimal reinsurance policy : The adjustment coefficient and the expected utility criteria |
title |
Optimal reinsurance policy : The adjustment coefficient and the expected utility criteria |
spellingShingle |
Optimal reinsurance policy : The adjustment coefficient and the expected utility criteria Guerra, Manuel Optimal Reinsurance Risk Stop Loss Ruin Probability Adjustment Coefficient Premium Principles Exponential Utility Function |
title_short |
Optimal reinsurance policy : The adjustment coefficient and the expected utility criteria |
title_full |
Optimal reinsurance policy : The adjustment coefficient and the expected utility criteria |
title_fullStr |
Optimal reinsurance policy : The adjustment coefficient and the expected utility criteria |
title_full_unstemmed |
Optimal reinsurance policy : The adjustment coefficient and the expected utility criteria |
title_sort |
Optimal reinsurance policy : The adjustment coefficient and the expected utility criteria |
author |
Guerra, Manuel |
author_facet |
Guerra, Manuel Centeno, M. de Lourdes |
author_role |
author |
author2 |
Centeno, M. de Lourdes |
author2_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Guerra, Manuel Centeno, M. de Lourdes |
dc.subject.por.fl_str_mv |
Optimal Reinsurance Risk Stop Loss Ruin Probability Adjustment Coefficient Premium Principles Exponential Utility Function |
topic |
Optimal Reinsurance Risk Stop Loss Ruin Probability Adjustment Coefficient Premium Principles Exponential Utility Function |
description |
This paper is concerned with the optimal form of reinsurance from the ceding company point of view, when the cedent seeks to maximize the adjustment coefficient of the retained risk. We deal with the problem by exploring the relationship between maximizing the adjustment coefficient and maximizing the expected utility of wealth for the exponential utility function, both with respect to the retained risk of the insurer. Assuming that the premium calculation principle is a convex functional and that some other quite general conditions are fulfilled, we prove the existence and uniqueness of solutions and provide a necessary optimal condition. These results are used to find the optimal reinsurance policy when the reinsurance premium calculation principle is the expected value principle or the reinsurance loading is an increasing function of the variance. In the expected value case the optimal form of reinsurance is a stop-loss contract. In the other cases, it is described by a nonlinear function. |
publishDate |
2008 |
dc.date.none.fl_str_mv |
2008 2008-01-01T00:00:00Z 2023-05-12T18:03:27Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/27763 |
url |
http://hdl.handle.net/10400.5/27763 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Guerra, Manuel and M. de Lourdes Centeno. (2008). “Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria”. Insurance: Mathematics and Economics, Vol. 42, Issue 2: pp. 529–539. (Search PDF in 2023). 0167-6687 10.1016/j.insmatheco.2007.02.008 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Elsevier |
publisher.none.fl_str_mv |
Elsevier |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799131597090324480 |