Truncated Stop Loss as Optimal Reinsurance Agreement in One-period Models

Marek Kaluszka
2005 ASTIN Bulletin: The Journal of the International Actuarial Association  
We consider several one-period reinsurance models and derive a rule which minimizes the ruin probability of the cedent for a fixed reinsurance risk premium. The premium is calculated according to the economic principle, generalized zero-utility principle, Esscher principle or mean-variance principles. It turns out that a truncated stop loss is an optimal treaty in the class ofallreinsurance contracts. The result is also valid for models not involving ruin probability. An example is the Arrow
more » ... ple is the Arrow model with the Kahneman-Tversky value function.
doi:10.1017/s0515036100014276 fatcat:3maahhcohrdvjeo2djdwvtom34