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Optimal Reinsurance Retentions under Ruin-Related Optimization Criteria

Quota-share and stop-loss/excess-of-loss reinsurances are two
important reinsurance strategies. An important question, both in
theory and in application, is to determine optimal retentions for
these reinsurances. In this thesis, we study the optimal retentions
of quota-share and stop-loss/excess-of-loss reinsurances under
ruin-related optimization criteria.

We attempt to balance the interest for a ceding company and a
reinsurance company and employ an optimization criterion that
considers the interests of both a cedent and a reinsurer. We also
examine the influence of interest, dividend, commission, expense,
and diffusion on reinsurance retentions.

Identiferoai:union.ndltd.org:WATERLOO/oai:uwspace.uwaterloo.ca:10012/4123
Date19 November 2008
CreatorsLi, Zhi
Source SetsUniversity of Waterloo Electronic Theses Repository
LanguageEnglish
Detected LanguageEnglish
TypeThesis or Dissertation

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