An Extension of Arrow's Result on Optimal Reinsurance Contract

Marek Kaluszka and Andrzej Okolewski

Journal of Risk & Insurance, 2008, vol. 75, issue 2, 275-288

Abstract: We consider the problem of finding reinsurance policies that maximize the expected utility, the stability and the survival probability of the cedent for a fixed reinsurance premium calculated according to the maximal possible claims principle. We show that the limited stop loss and the truncated stop loss are the optimal contracts.

Date: 2008
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https://doi.org/10.1111/j.1539-6975.2008.00260.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jrinsu:v:75:y:2008:i:2:p:275-288

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