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Mean Variance, Expected Utility and Ruin Probability in Reinsurance Decisions: Suggestions and Comments on the Line of De Finetti’s Seminal Work

In: Probability and Bayesian Statistics

Author

Listed:
  • Luciano Daboni

    (University of Trieste, Department of Applied Mathematics B. de Finetti)

  • Flavio Pressacco

    (University of Trieste, Department of Applied Mathematics B. de Finetti)

Abstract

Roughly speaking risk theory in insurance concerns the survival of (a branch of) an insurance company over some specified time horizon.* The key goal variable is usually the ruin probability of the company along that time horizon. While practical everyday problems involve mid term (e.g. five or ten years) horizon, theoretical models are mainly concerned with single period problems, or at the other extreme with (asymptotic) evaluations over an infinite time horizon. The usually relevant control variables are the initial reserve fund and the safety loading coefficient placed to obtain tariff insurance premiums. A third prominent control variable, sometimes implicitly considered, is the reinsurance strategy of the firm.

Suggested Citation

  • Luciano Daboni & Flavio Pressacco, 1987. "Mean Variance, Expected Utility and Ruin Probability in Reinsurance Decisions: Suggestions and Comments on the Line of De Finetti’s Seminal Work," Springer Books, in: R. Viertl (ed.), Probability and Bayesian Statistics, pages 121-128, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4613-1885-9_12
    DOI: 10.1007/978-1-4613-1885-9_12
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