Sur la détermination d'un contrat optimal de réassurance

Ohhn [7] showed optimality properties of Stop Loss reinsurance when the ceding insurer uses a continuous loss function to evaluate his risks. We generalize this property to the range of the distribution; we then show that Stop Loss reinsurance is no longer the best form when the company uses a percentile parameter. Finally we prove an optimality theorem concerning chance games which allows us to determine the retention as a function of the size of the portfolio.