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Chains of reinsurance revisited

par Lemaire, Jean ;Quairiere, Jean Pierre
Référence ASTIN bulletin, 16, 2, page (77-88)
Publication Publié, 1986

Article révisé par les pairs

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Résumé :

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. © 1986, International Actuarial Association. All rights reserved.