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Sur la determination d'un contrat optimal de reassurance

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  • Lemaire, Jean

Abstract

Ohlin [7] showed optimality properties of Stop Loss reinsurance when the ceding insurer uses a continuous loss function to evaluate his risks. We generalize this property to the range of the distribution; we then show that Stop Loss reinsurance is no longer the best form when the company uses a percentile parameter. Finally we prove an optimality theorem concerning chance games which allows us to determine the retention as a function of the size of the portfolio.

Suggested Citation

  • Lemaire, Jean, 1973. "Sur la determination d'un contrat optimal de reassurance," ASTIN Bulletin, Cambridge University Press, vol. 7(2), pages 165-180, September.
    • Handle: RePEc:cup:astinb:v:7:y:1973:i:02:p:165-180_00
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