A General Framework for Solving Optimal Reinsurance Problems
University of Ljubljana - Faculty of Economics
August 30, 2010
In this paper we develop what is to the best of our knowledge a new method for solving optimal reinsurance problems. Using the aforementioned method we are able to replicate the results of Bernard and Tian (2009), Cheung (2010) and Cai et al. (2008). The method however allows us to extend the results to other risk measures (besides VaR, CTE) and other premium principles (other than the expected value premium principle).
Keywords: optimal reinsurance, risk measures, premium principles
JEL Classification: c02,c61
Date posted: August 31, 2010
© 2016 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollobot1 in 2.344 seconds