In this paper we study optimal reinsurance models from the per- spective of an insurer by minimizing the total risk exposure under a distortion risk measure in the hypothesis of a stochastic reinsurance premium. This assumption is consistent with reinsurance practice in which reinsurance premiums frequently depend on the recorded claims rate, therefore a random component results. For example, it is consis- tent with reinstatement clauses which are widely used in the industry.
Campana, Antonella (Corresponding)
|Data di pubblicazione:||2019|
|Titolo:||On Optimal Reinsurance with Stochastic Premium|
|Rivista:||APPLIED MATHEMATICAL SCIENCES|
|Digital Object Identifier (DOI):||http://dx.doi.org/10.12988/ams.2019.97102|
|Appare nelle tipologie:||2.1 Articolo su rivista |