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Designing of Optimal Reinsurance Indemnity

Author

Listed:
  • Viktorija Skvarciany

    (Institute of Dynamic Management, Vilnius Gediminas Technical University, 10223 Vilnius, Lithuania)

  • Indrė Lapinskaitė

    (Institute of Dynamic Management, Vilnius Gediminas Technical University, 10223 Vilnius, Lithuania)

Abstract

This paper contributes to relevant research in the area of optimal reinsurance indemnity and deals with the risk measures that are used in reinsurance. The research aims at finding optimal reinsurance contracts under different risk levels. The paper has demonstrated that the method of calculating the indemnity of the reinsurance contract discussed in the aforementioned article—the reduction of the square of excess of loss—can be generalised and is valid in all instances where p ∈ (0; 1) ∪ (1; +∞). The results could be useful for the insurance companies calculating indemnities for different cases, as they could state the degrees that fit their needs most.

Suggested Citation

  • Viktorija Skvarciany & Indrė Lapinskaitė, 2022. "Designing of Optimal Reinsurance Indemnity," Mathematics, MDPI, vol. 10(19), pages 1-8, October.
    • Handle: RePEc:gam:jmathe:v:10:y:2022:i:19:p:3662-:d:934831
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    References listed on IDEAS

    as
    1. Carole Bernard & Weidong Tian, 2009. "Optimal Reinsurance Arrangements Under Tail Risk Measures," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 709-725, September.
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    4. Cai, Jun & Tan, Ken Seng, 2007. "Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures," ASTIN Bulletin, Cambridge University Press, vol. 37(1), pages 93-112, May.
    5. Balbás, Alejandro & Balbás, Beatriz & Heras, Antonio, 2009. "Optimal reinsurance with general risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 374-384, June.
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    Full references (including those not matched with items on IDEAS)

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