On Optimal Properties of the Stop-Loss Reinsurance

Let F(x) be the distribution function of the total amount "E" of claims of an insurance company. It is assumed that this company reduces its liability by means of one or several reinsurance arrangements. Let the remaining part of claims amount be equal to "n" which is another random variable. Reinsurance arrangements are supposed to fulfill the following consistency condition [see article for equation]. Presumably all reinsurance arrangements occurring in practice can be supposed to fulfill this requirement. Reinsurance Research - Pricing/Contract Design