 previous article in this issue | next article in this issue  |
|
Document Details : Title: Chains of Reinsurance Revisited Author(s): LEMAIRE, Jean , QUAIRIÈRE, Jean-Pierre Journal: ASTIN Bulletin Volume: 16 Issue: 2 Date: November 1986 Pages: 77-88 DOI: 10.2143/AST.16.2.2015000 Abstract : Chains of reinsurance were first modelled by Gerber, in a special case. It is shown that more general results can be obtained by applying Borch's theorem. The Pareto-optimal reinsurance indemnities are uniquely determined using the only assumption that the participating companies use exponential utility functions. A simple comparison then shows that Gerber's indemnities are not Pareto-optimal. Even if no assumption at all is introduced, the indemnities are shown to be closely linked to the risk aversions of the participants. |
