Optimal stop-loss reinsurance: a dependence analysis

Anna Castaner
2015 Hacettepe Journal of Mathematics and Statistics  
The stop-loss reinsurance is one of the most important reinsurance contracts in the insurance market. From the insurer point of view, it presents an interesting property: it is optimal if the criterion of minimizing the variance of the cost of the insurer is used. The aim of the paper is to contribute to the analysis of the stop-loss contract in one period from the point of view of the insurer and the reinsurer. Firstly, the influence of the parameters of the reinsurance contract on the
more » ... ract on the correlation coefficient between the cost of the insurer and the cost of the reinsurer is studied. Secondly, the optimal stop-loss contract is obtained if the criterion used is the maximization of the joint survival probability of the insurer and the reinsurer in one period.
doi:10.15672/hjms.2015539472 fatcat:gbmbvryehjcyjkehxmrzfknvx4