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- W131823251 abstract "In this paper we examine a reinsurance market where a number of companies co- operate in order to minimize the total premium. The analysis is carried out in the context of the classical Cramer-Lundberg model of collective risk theory and it is assumed that each company determines its premium based on its attitude towards risk which is expressed via a fixed, infinite horizon ruin probability, as specified by the model. We formulate this problem as a variational problem in which ruin proba- bilities (as represented by the corresponding adjustment coecients) are treated as constraints and the sum of the premium rates charged by insurer and reinsurers is minimized. Within this framework, the optimal solution is proportional reinsurance. Connections are also made with classical studies of the reinsurance market, such as Borch (1962)." @default.
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- W131823251 date "2006-01-01" @default.
- W131823251 modified "2023-09-27" @default.
- W131823251 title "Optimal Behavior in a Reinsurance Market - An Actuarial Viewpoint" @default.
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