|previous article in this issue||next article in this issue|
Document Details :
Title: Combining Quota-share and Excess of Loss Treaties on the Reinsurance of n Independent Risks
Author(s): DE LOURDES CENTENO, Maria , SIMÔES, Onofre
Journal: ASTIN Bulletin
Volume: 21 Issue: 1 Date: April 1991
In this paper, we seek to find the optimal retentions for an insurance company which intends to reinsure each of n risks belonging to its portfolio, by means of a pure quota-share treaty, a pure excess of loss treaty or any combination of the two. The criterion chosen to the selection of the optimal programme is the maximization of the adjustment coefficient, attending to the relationship existing between thls coefficient and Lundberg's upper bound of the ruin probability.