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.
Autori: | |
Data di pubblicazione: | 2019 |
Titolo: | On Optimal Layer Reinsurance Model |
Rivista: | APPLIED MATHEMATICAL SCIENCES |
Digital Object Identifier (DOI): | http://dx.doi.org/10.12988/ams.2019.911151 |
Volume: | 13 |
Appare nelle tipologie: | 2.1 Articolo su rivista |
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