Reinsuring the Captive/Specialty Company

This paper primarily discusses one quantitative excess of loss reinsurance pricing technique. European actuarial literature of the 1960’s explores mathematical utility theory in the context of insurance. Recently, Freifelder and Cozzolino have written about exponential utility’s value in pricing. This paper explores the relationship between wealth, reinsurance dollars and retention/cession. It is hoped that actuaries can supplement management judgment on cost effective reinsurance programs with analyses such as described here. Reinsurance Research - General/NOC