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Benchmarking and Reinsurance

Author

Listed:
  • Bernis, G.

Abstract

This paper deals with the optimization of proportional reinsurance when the control process is the fraction of new insurance contracts reinsured at each time t. The reserve, when applying the reinsurance policy, appears to be the convolution product of the control function and the process which governs the new contacts.

Suggested Citation

  • Bernis, G., 1998. "Benchmarking and Reinsurance," Papiers d'Economie Mathématique et Applications 98.29, Université Panthéon-Sorbonne (Paris 1).
    • Handle: RePEc:fth:pariem:98.29
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    More about this item

    Keywords

    INSURANCE;

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies

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