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.
On Optimal Reinsurance with Stochastic Premium
Ferretti, Paola
2019
Abstract
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.
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