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Title: Optimal reinsurance in relation to ordering of risks
Authors: Van Heerwaarden, AE ×
Kaas, Robert
Goovaerts, Marc #
Issue Date: 1989
Series Title: Insurance: Mathematics & Economics vol:8 issue:1 pages:11-17
Abstract: Many criteria for choosing reinsurance treaties have the common property that a treaty is considered preferable to another if it is lower in stop-loss order, meaning that it produces uniformily lower stop-loss premiums. Such criteria include maximizing utility of wealth and minimizing ruin probability. If the set of feasible reinsurance treaties contains a minimum element in stop-loss order, this element is the solution to the optimization problem. The retained loss under a stop-loss treaty is such a minimum in the set of all treaties with equal mean, suggesting that stop-loss reinsurance is optimal with respect to many criteria. This result extends the result of Borch (1960) and Kahn (1961) on maximizing the utility of wealth
ISSN: 0167-6687
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center Insurance, Leuven
× corresponding author
# (joint) last author

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