Abstract
AbstractThis paper deals with numerical computation of the optimal form of reinsurance from the ceding company point of view, when the cedent seeks to maximize the adjustment coefficient of the retained risk and the reinsurance loading is an increasing function of the variance.We compare the optimal treaty with the best stop loss policy. The optimal arrangement can provide a significant improvement in the adjustment coefficient when compared to the best stop loss treaty. Further, it is substantially more robust with respect to choice of the retention level than stop-loss treaties.
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