On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance

Morten Hald and Hanspeter Schmidli

ASTIN Bulletin, 2004, vol. 34, issue 1, 75-83

Abstract: In this note we consider how to maximise the adjustment coefficient in the case of proportional reinsurance. This complements some work of Waters (1983), where it was shown that there is a unique retention level maximising the adjustment coefficient. The advantage of our method is that only one implicit equation has to be solved.

Date: 2004
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