In this paper, we consider the class of non-proportional reinsurance contracts known as layer reinsurance model or limited stop-loss treaty. With the aim of finding an optimal layer reinsurance, we make the choice of considering an optimization criteria preserving stop-loss order: we derive some conditions of optimality by minimizing insurer risk exposure under a generic concave distortion risk measure.

On Optimal Layer Reinsurance Model

Campana, Antonella
;
Ferretti, Paola
2019-01-01

Abstract

In this paper, we consider the class of non-proportional reinsurance contracts known as layer reinsurance model or limited stop-loss treaty. With the aim of finding an optimal layer reinsurance, we make the choice of considering an optimization criteria preserving stop-loss order: we derive some conditions of optimality by minimizing insurer risk exposure under a generic concave distortion risk measure.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10278/3721175
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