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

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  • Centeno, Lourdes
  • Simões, Onofre

Abstract

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.

Suggested Citation

  • Centeno, Lourdes & Simões, Onofre, 1991. "Combining Quota-Share and Excess of Loss Treaties on the Reinsurance of n Independent Risks," ASTIN Bulletin, Cambridge University Press, vol. 21(1), pages 41-55, April.
    • Handle: RePEc:cup:astinb:v:21:y:1991:i:01:p:41-55_00
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    Cited by:

    1. Fabio Baione & Paolo De Angelis & Massimiliano Menzietti & Agostino Tripodi, 2017. "A comparison of risk transfer strategies for a portfolio of life annuities based on RORAC," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(10), pages 1875-1892, July.
    2. Guohui Guan & Zongxia Liang & Yilun Song, 2022. "A Stackelberg reinsurance-investment game under $\alpha$-maxmin mean-variance criterion and stochastic volatility," Papers 2212.14327, arXiv.org.
    3. Amir T. Payandeh-Najafabadi & Ali Panahi-Bazaz, 2017. "An Optimal Combination of Proportional and Stop-Loss Reinsurance Contracts From Insurer's and Reinsurer's Viewpoints," Papers 1701.05450, arXiv.org.
    4. Liang, Xiaoqing & Liang, Zhibin & Young, Virginia R., 2020. "Optimal reinsurance under the mean–variance premium principle to minimize the probability of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 128-146.

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