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Optimal reinsurance under the standard deviation principle
2011
Scientia Sinica Mathematica
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This paper concerns how to purchase the reinsurance to minimize both the insurer and the reinsurer's risk fluctuation under the standard deviation principle. Sufficient conditions for the optimal reinsurance contract are obtained in the restricted class of admissible contracts. Assume that the reinsurer's risk is less than a threshold, and then we find out the optimal reinsurance contract that minimizes the insurer's risk. Here the insurer company can take three general and useful risk measures.
doi:10.1360/012010-422
fatcat:q3kemmfwpbhuvgjpprxhisdpu4