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A General Framework for Solving Optimal Reinsurance Problems

Posted: 31 Aug 2010  

Ales Ahcan

University of Ljubljana - Faculty of Economics

Date Written: August 30, 2010

Abstract

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

Suggested Citation

Ahcan, Ales, A General Framework for Solving Optimal Reinsurance Problems (August 30, 2010). Available at SSRN: https://ssrn.com/abstract=1668430

Ales Ahcan (Contact Author)

University of Ljubljana - Faculty of Economics ( email )

Kardeljeva ploscad 17
Ljubljana, 1000
Slovenia

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