Calculation of the maximum retentions in XL reinsurance (Q1095550)
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scientific article; zbMATH DE number 4028695
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Calculation of the maximum retentions in XL reinsurance |
scientific article; zbMATH DE number 4028695 |
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Calculation of the maximum retentions in XL reinsurance (English)
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1987
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The present paper is concerned with the calculation of the maximum retentions in excess of loss reinsurance. First, by the Kuhn-Tucker first-order optimality conditions, the relative retention problem is solved; moreover, by the expected utility criterion, the solution of the absolute retention problem is given. For both cases an algorithm is proposed.
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maximum retentions
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excess of loss reinsurance
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Kuhn-Tucker first-order optimality conditions
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relative retention problem
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expected utility criterion
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absolute retention problem
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algorithm
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0.8058458
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0.8019122
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0.7972982
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0.7917671
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0.7895507
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