Mean-Variance Optimal Reinsurance Arrangements

Marek Kaluszka

Scandinavian Actuarial Journal, 2004, vol. 2004, issue 1, 28-41

Abstract: Reinsurance reduces the risk but it also reduces the potential profit. The aim of the paper is to derive optimal, from the cedent's point of view, reinsurance arrangements balancing the risk measured by variance and expected profits under various mean-variance premium principles of the reinsurer. We find that quota share, excess of loss or combinations of excess of loss with quota share are the optimal rules according to a fixed expected gain of the cedent

Date: 2004
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DOI: 10.1080/03461230410019222

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