IDEAS home Printed from https://ideas.repec.org/a/cup/astinb/v5y1969i02p249-266_00.html
   My bibliography  Save this article

On a class of measures of dispersion with application to optimal reinsurance

Author

Listed:
  • Ohlin, Jan

Abstract

In this paper we will investigate the following reinsurance problem: An insurer, whose total claims for a certain period may be regarded as a random variable x with expected value Ex = m, wishes to cede part of his business to a reinsurer. A reinsurance treaty will consist of rule for the division of x between the two parties. For any observed value of x it should define uniquely what amount should be borne by the ceding insurer. The amount borne by the reinsurer is then simply the remaining part of x.We shall assume that the insurer has already decided how much of his business he wishes to cede, in the sense that he wants to retain a part of the total risk with expected value m — c, where c is a fixed constant, o

Suggested Citation

  • Ohlin, Jan, 1969. "On a class of measures of dispersion with application to optimal reinsurance," ASTIN Bulletin, Cambridge University Press, vol. 5(2), pages 249-266, May.
    • Handle: RePEc:cup:astinb:v:5:y:1969:i:02:p:249-266_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0515036100008102/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Boonen, Tim J. & Liu, Fangda, 2022. "Insurance with heterogeneous preferences," Journal of Mathematical Economics, Elsevier, vol. 102(C).
    2. Guerra, Manuel & de Lourdes Centeno, Maria, 2008. "Optimal reinsurance policy: The adjustment coefficient and the expected utility criteria," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 529-539, April.
    3. Kaluszka, Marek, 2004. "An extension of Arrow's result on optimality of a stop loss contract," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 527-536, December.
    4. Chi, Yichun & Liu, Fangda, 2017. "Optimal insurance design in the presence of exclusion clauses," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 185-195.
    5. Abhishek, Vineet & Hajek, Bruce & Williams, Steven R., 2013. "Auctions with a profit sharing contract," Games and Economic Behavior, Elsevier, vol. 77(1), pages 247-270.
    6. Chi, Yichun & Liu, Fangda, 2021. "Enhancing an insurer's expected value by reinsurance and external financing," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 466-484.
    7. Chi, Yichun & Zhuang, Sheng Chao, 2022. "Regret-based optimal insurance design," Insurance: Mathematics and Economics, Elsevier, vol. 102(C), pages 22-41.
    8. Cai, Jun & Wei, Wei, 2012. "Optimal reinsurance with positively dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 57-63.
    9. Juan-José Ganuza & José S. Penalva, 2005. "On Information and Competition in Private Value Auctions," Working Papers 158, Barcelona School of Economics.
    10. Cheung, K.C. & Chong, W.F. & Yam, S.C.P., 2015. "Convex ordering for insurance preferences," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 409-416.
    11. Magnus Carlehed, 2023. "A Model for Risk Adjustment (IFRS 17) for Surrender Risk in Life Insurance," Risks, MDPI, vol. 11(3), pages 1-22, March.
    12. Chi, Yichun & Tan, Ken Seng & Zhuang, Sheng Chao, 2020. "A Bowley solution with limited ceded risk for a monopolistic reinsurer," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 188-201.
    13. Chi, Yichun, 2018. "Insurance choice under third degree stochastic dominance," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 198-205.
    14. Muller, Alfred, 1996. "Orderings of risks: A comparative study via stop-loss transforms," Insurance: Mathematics and Economics, Elsevier, vol. 17(3), pages 215-222, April.
    15. Chi, Yichun & Weng, Chengguo, 2013. "Optimal reinsurance subject to Vajda condition," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 179-189.
    16. Abhishek, Vineet & Hajek, Bruce & Williams, Steven R., 2015. "On bidding with securities: Risk aversion and positive dependence," Games and Economic Behavior, Elsevier, vol. 90(C), pages 66-80.
    17. Asimit, Alexandru V. & Chi, Yichun & Hu, Junlei, 2015. "Optimal non-life reinsurance under Solvency II Regime," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 227-237.
    18. Zhu, Yunzhou & Chi, Yichun & Weng, Chengguo, 2014. "Multivariate reinsurance designs for minimizing an insurer’s capital requirement," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 144-155.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:astinb:v:5:y:1969:i:02:p:249-266_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/asb .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.