The note sets up and resolves some reinsurance problems, according to both a unilateral and bilateral approach, placed within the theory of expected utility, deriving the closed-form expressions of some fundamental quantities: the optimal unilateral and bilateral conservation rates and the indifference premiums.
Optimal reinsurance policies in proportional treaties with quadratic utility function
NICOLINO ETTORE D'ORTONA
2024-01-01
Abstract
The note sets up and resolves some reinsurance problems, according to both a unilateral and bilateral approach, placed within the theory of expected utility, deriving the closed-form expressions of some fundamental quantities: the optimal unilateral and bilateral conservation rates and the indifference premiums.File in questo prodotto:
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