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On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance

Published online by Cambridge University Press:  17 April 2015

Morten Hald  and
Hanspeter Schmidli
Morten Hald
Affiliation:
Codan, Codanhus, Gammel Kongevej 60, DK-1790 Copenhagen V, Denmark
Hanspeter Schmidli
Affiliation:
Laboratory of Actuarial Mathematics, University of Copenhagen, Universitetsparken 5, DK-2100 Copenhagen Ø, Denmark
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Abstract

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In this note we consider how to maximise the adjustment coefficient in the case of proportional reinsurance. This complements some work of Waters (1983), where it was shown that there is a unique retention level maximising the adjustment coefficient. The advantage of our method is that only one implicit equation has to be solved.

Keywords

Adjustment coefficientproportional reinsuranceCramér-Lundberg risk modelSparre-Andersen risk modelMarkov modulated risk model
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 34 , Issue 1 , May 2004 , pp. 75 - 83
Copyright
Copyright © ASTIN Bulletin 2004

References

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