AN INCLUSIVE CRITERION FOR AN OPTIMAL CHOICE OF REINSURANCE

El Attar Abderrahim, El Hachloufi Mostafa () and Guennoun Zine El Abidine ()
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El Attar Abderrahim: Department of Mathematics, Faculty of Sciences-Rabat, Mohamed V University, Morocco
El Hachloufi Mostafa: Department of Statistics and Mathematics, Applied to Economics and Management, Faculty of Juridical Sciences, Economic and Social-Ain Sebaa, Morocco
Guennoun Zine El Abidine: Department of Mathematics, Faculty of Sciences-Rabat, Mohamed V University, Morocco

Annals of Financial Economics (AFE), 2017, vol. 12, issue 04, 1-22

Abstract: In this paper, we propose an inclusive model which allows to improve the results obtained in the literature with regard to the criteria set by the insurers such as, maximizing the expected technical benefit under the variance constraint (mean-variance), minimizing the probability of ruin and minimizing risk measures. In this model, we determine the optimal reinsurance treaty parameter that minimizes both the risk and the probability of ruin (by maximizing the Lundberg adjustment coefficient) under the constraint of the technical benefit which must also be maximal, based on the conditional tail variance (CTV) risk measure. Thus, we have developed an optimization procedure based on the augmented Lagrangian and genetic algorithms, in order to solve the optimization program of this model.

Keywords: Augmented Lagrangian; conditional tail variance; genetic algorithms; Lundberg adjustment coefficient; optimization; probability of ruin; reinsurance; technical benefit (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1142/S201049521750018X

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