Optimality of Reinsurance Treaties under a Mean - Ruin Probability Criterion
Abstract
The minimization of the probability of ruin is a crucial criterion for determining the effect of the form of reinsurance on the wealth of the cedant and is a very important factor in choosing optimal reinsurance. However, this optimization criterion alone does not generally lead to a rational decision to choose an optimal reinsurance plan. This criterion acts only on the risk (minimizing it via the probability of ruin), but does not affect the technical benefit, that is to say, the insurer should not choose the optimal reinsurance treaty, it is not beneficial.We propose a new reinsurance optimization strategy that maximizes the technical benefit of an insurance company while maintaining a minimal level for the probability of ruin. The objective is to optimize with precision and ease of computation using Genetic algorithms.References
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