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Optimal stop-loss reinsurance: a dependence analysis

  • Anna Castañer

    ()

    (Dept. Matemàtica Econòmica, Financera i Actuarial, Universitat de Barcelona, Av. Diagonal, 690, 08034 Barcelona, Spain)

  • Mª Mercè Claramunt

    ()

    (Dept. Matemàtica Econòmica, Financera i Actuarial, Universitat de Barcelona, Av. Diagonal, 690, 08034 Barcelona, Spain)

The stop-loss reinsurance is one of the most important reinsurance contracts in the insurance market. From the insurer point of view, it presents an interesting property: it is optimal if the criterion of minimizing the variance of the cost of the insurer is used. The aim of the paper is to contribute to the analysis of the stop-loss contract in one period from the point of view of the insurer and the reinsurer. Firstly, the influence of the parameters of the reinsurance contract on the correlation coefficient between the cost of the insurer and the cost of the reinsurer is studied. Secondly, the optimal stop-loss contract is obtained if the criterion used is the maximization of the joint survival probability of the insurer and the reinsurer in one period.

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File URL: http://www.xreap.cat/RePEc/xrp/pdf/XREAP2014-04.pdf
File Function: First version, 2014
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File URL: http://www.xreap.cat/RePEc/xrp/pdf/XREAP2014-04.pdf
File Function: Revised version, 2014
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Paper provided by Xarxa de Referència en Economia Aplicada (XREAP) in its series Working Papers with number XREAP2014-04.

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Length: 32 pages
Date of creation: Apr 2014
Date of revision: Apr 2014
Handle: RePEc:xrp:wpaper:xreap2014-04
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