Abstract
The present paper is concerned with the calculation of the maximum retensions in excess of loss reinsurance. First, by the Kuhn–Tucker first-order optimality conditions, the relative retention problem is solved; moreover, by the expected utility criterion, the solution of the absolute retention problem is given. For both cases an algorithm is proposed.
Author Keywords: Reinsurance; Excess of loss; Retention problem; Expected utility criterion; Kuhn–Tucker optimality conditions
Volume
6:3
Page
169-178
Year
1987
Categories
Business Areas
Reinsurance
Publications
Insurance: Mathematics & Economics
