Balbás, Alejandro; Balbás, Beatriz; Heras, Antonio - Departamento de Economía de la Empresa, Universidad … - 2010
The optimal reinsurance problem is a classic topic in Actuarial Mathematics. Recent approaches consider a coherent or … optimal reinsurance with respect to the risk measure that the insurer uses. We will demonstrate that there is a “stable … optimal retention” that will show no sensitivity, insofar as it will solve the optimal reinsurance problem for many risk …