Abstract
In this paper we present an approach to minimize the actuarial risk for the optimal choice of a form of reinsurance, and this is intended to be through a choice of treated parameters that minimize the risk using the Conditional Tail Expectation and the Conditional Tail Variance risk measures. The minimization procedure is based on the Augmented Lagrangian and a genetic algorithm with technical benefit as a constraint. This approach can be seen as a decision support tool that can be used by managers to minimize the actuarial risk in the insurance company.
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