Abstract
SummaryOhlin [7] showed optimality properties of Stop Loss reinsurance when the ceding insurer uses a continuous loss function to evaluate his risks. We generalize this property to the range of the distribution; we then show that Stop Loss reinsurance is no longer the best form when the company uses a percentile parameter. Finally we prove an optimality theorem concerning chance games which allows us to determine the retention as a function of the size of the portfolio.
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