Alexandra B. Moura- ISEG/UL – Universidade de Lisboa, Department of Mathematics; REM – Research in Economics and Mathematics, CEMAPRE
- Local: ZOOM – 14:30 – Link Password: 655134
- Terça-feira, 22 de setembro de 2020
- Referência Projeto: UIDB/00006/2020
We consider the optimal reinsurance problem for several dependent risks, assuming a maximal expected utility criterion and independent negotiation of reinsurance for each risk.
Without any particular hypothesis on the dependency structure, we show that optimal treaties exist in a class of independent randomized contracts. We derive optimality conditions and show that under mild assumptions the optimal contracts are of classical (non-randomized) type.
Due to dependencies, the optimal level of reinsurance for each risk involves a trade-off between the reinsurance premia of both risks.
We consider the particular cases of the expected value a variance related premium calculation principles and illustrate the results with some numerical examples.