User menu

Accès à distance ? S'identifier sur le proxy UCLouvain

De Finetti's retention problem for proportional reinsurance revisited

Primary tabs

Glineur, François [UCL] Walhin, Jean-François [UCL]

We use convex optimization to provide a rigorous proof of de Finetti’s retention result for proportional reinsurance. We then extend this result to variable quota share reinsurance and surplus reinsurance with table of lines. We demonstrate by a numerical example that in general neither variable quota share reinsurance nor surplus reinsurance with table of lines may be considered as optimal reinsurance structures.

Document type Article de périodique (Journal article)
Access type Accès restreint
Publication date 2006
Language Anglais
Journal information "Blätter der DGVFM" - Vol. 27, no. 3, p. 451-462 (2006)
Peer reviewed yes
Publisher Springer (Berlin / Heidelberg)
issn 1864-0281
Publication status Publié
Affiliations UCL - ESPO/IAG - Département d'administration et de gestion
UCL - FSA/INMA - Département d'ingénierie mathématique
Links
  1. de Finetti, B. (1940), Il problema dei pieni,Giorn. Inst. Ital. Attuari, 11, 1–88.
  2. Bühlmann, H. (1970),Mathematical Methods in Risk Theory, Springer.
  3. Nocedal, J. and Wright S.J. (1999),Numerical Optimization, Springer.
Bibliographic reference Glineur, François ; Walhin, Jean-François. De Finetti's retention problem for proportional reinsurance revisited. In: Blätter der DGVFM, Vol. 27, no. 3, p. 451-462 (2006)
Permanent URL http://hdl.handle.net/2078.1/94919