Decision analysis models in reinsurance
type: Item
instance of: scholarly article
title: Decision analysis models in reinsurance
zbMATH Open document ID: 0554.62092
DOI: 10.1016/0377-2217(85)90173-0
author: Danny Samson
author: Howard Thomas
published in: European Journal of Operational Research
publication date: 1985-01-01T00:00:00Z
review text: Decision analysis models are developed and illustrated for the reinsurance (risk transfer) decisions made by insurance companies. Decision analytic models were found to be useful tools both for structuring multistage reinsurance decisions and for comparing alternative options. The insurer is faced with many possible choices involving reinsurance type and extent, and an expected utility model provided insight both as a screening device and as an evaluation criterion. Decision analytic models appeared to be superior to other approaches such as mean/variance and risk of ruin models both because of their flexibility and their more comprehensive treatment of the important elements of the decision, namely the complete claims distribution, the cost of reinsurance and the insurer's risk attitude.
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B06
zbMATH DE Number: 3883472
zbMATH Keywords: reinsurance
zbMATH Keywords: risk transfer
zbMATH Keywords: expected utility model
MaRDI profile type: Publication
full work available at URL: 0377-2217(85)90173-0
OpenAlex ID: W1969713546
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description: scientific article; zbMATH DE number 3883472