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- Title
OPTIMAL PREMIUM PLANS FOR REINSURANCE WITH REINSTATEMENTS.
- Authors
Hess, Klaus TH.; Schmidt, Klaus D.
- Abstract
The present paper is concerned with optimal premium plans for a reinsurance contract with reinstatements. In the reinsurance contract considered here, constant reinstatement premiums are due when the reinsurer's loss exceeds certain bounds. For this reinsurance contract we examine the existence of a premium plan which minimizes the expected squared difference between the loss and the total premium income of the reinsurer. We show that an optimal premium plan exists, that it is unique, and that it satisfies the net premium principle.
- Subjects
INSURANCE plans; INSURANCE premiums; REINSURANCE; INCOME; REINSTATEMENT of employees
- Publication
Astin Bulletin, 2004, Vol 34, Issue 2, p299
- ISSN
0515-0361
- Publication type
Article
- DOI
10.2143/AST.34.2.505145