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.
Autori: | |
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 |
Volume: | 13 |
Appare nelle tipologie: | 2.1 Articolo su rivista |
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