RT Generic
T1 Optimal reinsurance under risk and uncertainty
A1 Balbás, Alejandro
A1 Balbás, Beatriz
A1 Balbás, Raquel
A1 Rodríguez de las Heras Pérez, Antonio
A2 Universidad Carlos III de Madrid. Instituto para el Desarrollo Empresarial (INDEM), 
AB This paper deals with the optimal reinsurance problem if both insurer andreinsurer are facing risk and uncertainty, though the classical uncertainty free case is alsoincluded. The insurer and reinsurer degrees of uncertainty do not have to be identical.The decision variable is not the retained (or ceded) risk, but its sensitivity with respect tothe total claims. Thus, if one imposes strictly positive lower bounds for this variable, thereinsurer moral hazard is totally eliminated.Three main contributions seem to be reached. Firstly, necessary and sufficient opti-mality conditions are given. Secondly, the optimal contract is often a bang-bang solution,i:e:, the sensitivity between the retained risk and the total claims saturates the imposedconstraints. For some special cases the optimal contract might not be bang-bang, but thereis always a bang-bang contract as close as desired to the optimal one. Thirdly, the optimalreinsurance problem is equivalent to other linear programming problem, despite the factthat risk, uncertainty, and many premium principles are not linear. This may be impor-tant because linear problems are easy to solve in practice, since there are very efficientalgorithms.
SN 1989-8843
YR 2014
FD 2014-06-01
LK https://hdl.handle.net/10016/19024
UL https://hdl.handle.net/10016/19024
LA eng
DS e-Archivo
RD 3 may. 2024