An Extension of Arrow's Result on Optimal Reinsurance Contract |
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| Authors: | Marek Kaluszka rzej Okolewski |
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| Institution: | Marek Kaluszka and Andrzej Okolewski are at the Institute of Mathematics, Technical University of Lodz, ul. Wolczanska 215, 93-005 Lodz, Poland. |
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| Abstract: | We consider the problem of finding reinsurance policies that maximize the expected utility, the stability and the survival probability of the cedent for a fixed reinsurance premium calculated according to the maximal possible claims principle. We show that the limited stop loss and the truncated stop loss are the optimal contracts. |
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