Abstract
We use convex optimization to provide a rigorous proof of de Finetti’s retention result for proportional reinsurance. We then extend this result to variable quota share reinsurance and surplus reinsurance with table of lines. We demonstrate by a numerical example that in general neither variable quota share reinsurance nor surplus reinsurance with table of lines may be considered as optimal reinsurance structures.
Published Version
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.