Reinsurance Arrangements Maximizing Insurer's Survival Probability

Lesław Gajek and Dariusz Zagrodny

Journal of Risk & Insurance, 2004, vol. 71, issue 3, 421-435

Abstract: The article concerns the problem of purchasing a reinsurance policy that maximizes the survival probability of the insurer. Explicit forms of the contracts optimal for the insurer are derived which are stop loss or truncated stop loss depending on the initial surplus, a quota to be spend on reinsurance and pricing rules of both the insurer and the reinsurer.

Date: 2004
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https://doi.org/10.1111/j.0022-4367.2004.00097.x

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