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.
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