Reinsurance of multiple risks with generic dependence structures

Guerra, M.; Moura, A.B. de

http://hdl.handle.net/10400.5/20637

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Autores

Guerra, M.

Moura, A.B. de

Resumo(s)

We consider the optimal reinsurance problem from the point of view of a direct insurer owning several dependent risks, assuming a maximal expected utility criterion and independent negotiation of reinsurance for each risk. Without any particular hypothesis on the dependency structure, we show that optimal treaties exist in a class of independent randomized contracts. We derive optimality conditions and show that under mild assumptions the optimal contracts are of classical (non-randomized) type. A specific form of the optimality conditions applies in that case. We illustrate the results with some numerical examples.

Palavras-chave

Reinsurance Dependent Risks Premium Calculation Principles Expected Utility Randomized reinsurance treaties

URI

http://hdl.handle.net/10400.5/20637

Citação

Guerra, M. e A.B. de Moura (2020). "Reinsurance of multiple risks with generic dependence structures". Instituto Superior de Economia e Gestão – REM Working paper nº 0149 – 2020

Editora

ISEG - REM - Research in Economics and Mathematics

Coleções

REM - REM Working Papers Series

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