Impact of dependencies in optimal reinsurance

Transmissão através de Videoconferência

Speaker: Alexandra B. Moura​ (ISEG/UL - Universidade de Lisboa, Department of Mathematics; REM - Research in Economics and Mathematics, CEMAPRE).​

Abstract: We consider the optimal reinsurance problem for several dependent risks, assuming a maximal expected utility criterion and independent negotiation of reinsurance for each risk.
Without any particular hypothesis on the dependency structure, we show that optimal treaties exist in a class of independent randomized contracts. We derive optimality conditions and show that under mild assumptions the optimal contracts are of classical (non-randomized) type.
Due to dependencies, the optimal level of reinsurance for each risk involves a trade-off between the reinsurance premia of both risks. 
We consider the particular cases of the expected value a variance related premium calculation principles and illustrate the results with some numerical examples.​

Link Zoom | Password: 655134

CEAUL - Centro de Estatística e Aplicações da Universidade de Lisboa