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Combining Quota-Share and Excess of Loss Treaties on the Reinsurance of n Independent Risks

Published online by Cambridge University Press:  29 August 2014

Lourdes Centeno  and
Onofre Simões
Lourdes Centeno*
Affiliation:
ISEG, Universidade Técnica de Lisboa, Portugal
Onofre Simões
Affiliation:
ISEG, Universidade Técnica de Lisboa, Portugal
*
Instituto Superior de Economia e Gestão, Rua Miguel Lupi, 20, 1200 Lisboa, Portugal.
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Abstract

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In this paper, we seek to find the optimal retentions for an insurance company which intends to reinsure each of n risks belonging to its portfolio, by means of a pure quota-share treaty, a pure excess of loss treaty or any combination of the two. The criterion chosen to the selection of the optimal programme is the maximization of the adjustment coefficient, attending to the relationship existing between this coefficient and Lundberg's upper bound of the ruin probability.

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 21 , Issue 1 , April 1991 , pp. 41 - 55
Copyright
Copyright © International Actuarial Association 1991

References

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