Abstract
This chapter creates a link between the theories presented in the first chapter and the practice described in the second one. Indeed, it sets out, mostly through examples, some methods for pricing and optimizing reinsurance. The aim of this chapter is to apply the formalism presented in the first chapter to the institutional framework given in the second chapter. In many cases, the treaties used in practice correspond to the optimal risk sharing predicted by the theory.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Notes
- 1.
See, for example, Duffie (1992).
- 2.
Equivalently, positive almost surely and non zero with strictly positive probability.
- 3.
The transfer of past losses on tax benefits.
References
Aase K (1992) Dynamic equilibrium and the structure premium in a reinsurance market. Geneva Pap Risk Insur Theory 17:93–136
Borch K (1962) Equilibrium in a reinsurance market. Econometrica 30:424–444
Borch K (1974) The mathematical theory of insurance. Heath, Boston
Borch K (1990) Economics of insurance. North-Holland, Amsterdam
Bühlmann H (1970) Mathematical methods in risk theory. Springer, Berlin
de Finetti B (1940) Il problema dei pieni. G Ist Ital Attuari 11:1–88
Duffie D (1992) Dynamic asset pricing. Princeton University Press, Princeton
Goovaerts M, Kaas R, van Heerwaarden A (1990) Effective actuarial methods. North-Holland, Amsterdam
Kaas R, Goovaerts M, Dhaene J, Denuit M (2008) Modern actuarial risk theory: using R, 2nd edn. Springer, Berlin
Koehl PF, Rochet JC (1994) Equilibrium in a reinsurance market: introducing taxes. Geneva Pap Risk Insur Theory 19(2):101–117
Pétauton P (2000) Théorie de l’assurance dommages. Dunod, Paris
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2014 Springer-Verlag London
About this chapter
Cite this chapter
Deelstra, G., Plantin, G. (2014). Optimal Reinsurance. In: Risk Theory and Reinsurance. EAA Series. Springer, London. https://doi.org/10.1007/978-1-4471-5568-3_3
Download citation
DOI: https://doi.org/10.1007/978-1-4471-5568-3_3
Publisher Name: Springer, London
Print ISBN: 978-1-4471-5567-6
Online ISBN: 978-1-4471-5568-3
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)