Benchmarking and Reinsurance

G. Bernis

Papiers d'Economie Mathématique et Applications from Université Panthéon-Sorbonne (Paris 1)

Abstract: This paper deals with the optimization of proportional reinsurance when the control process is the fraction of new insurance contracts reinsured at each time t. The reserve, when applying the reinsurance policy, appears to be the convolution product of the control function and the process which governs the new contacts.

Keywords: INSURANCE (search for similar items in EconPapers)
JEL-codes: G22 (search for similar items in EconPapers)
Pages: 18 pages
Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pariem:98.29

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