Excess of loss reinsurance limits

Autor:	H. R. Waters
Rok vydání:	1979
Předmět:	Statistics and Probability Reinsurance Economics and Econometrics Actuarial science Compound Poisson distribution Optimality criterion Mathematics::Optimization and Control Portfolio Statistics Probability and Uncertainty Expected value Mathematical economics Mathematics
Zdroj:	Scandinavian Actuarial Journal. 1979:37-43
ISSN:	1651-2030 0346-1238
DOI:	10.1080/03461238.1979.10413708
Popis:	In this paper we consider the optimal levels of excess of loss reinsurance for a portfolio of risks. The optimality criterion that we use is essentially that the insurer's probability of ultimate ruin should be minimized. The solution to our problem, assuming the claims have a compound Poisson distribution and the reinsurance premiums are calculated by the expected value principle, is given in Theorems 1 and 2.
Databáze:	OpenAIRE
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