Abstract
We determine the optimal two-layers stop-loss reinsurance contracts, which minimize the total splitting risk measure under market conditions. Then, following a CAPM like pricing methodology from the author, we show how to obtain for a portfolio in life insurance the limiting optimal stop-loss contracts, which offer the greatest reduction in cost of capital.
Keywords : reinsurance, comonotone property, perfect hedge, two-layers stop-loss contract, total splitting risk measure, p-norm principle, economic capital, cost of capital
Volume
Berlin
Year
2003
Categories
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Systematic Risk Models
Extensions of CAPM
Business Areas
Reinsurance
Aggregate Excess/Stop Loss
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Capital Theory
Publications
ASTIN Colloquium
