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Document Details : Title: On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance Author(s): HALD, M. , SCHMIDLI, H. Journal: ASTIN Bulletin Volume: 34 Issue: 1 Date: May 2004 Pages: 75-83 DOI: 10.2143/AST.34.1.504955 Abstract : In this note we consider how to maximise the adjustment coefficient in the case of proportional reinsurance. This complements some work of Waters (1983), where it was shown that there is a unique retention level maximising the adjustment coefficient. The advantage of our method is that only one implicit equation has to be solved. |
