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Mean-variance optimal local reinsurance contracts

Kałuszka M.

Control and Cybernetics

2003

Vol. 32, no 4

883-896

Reinsurance reduces the risk but it also reduces the potential profit. The aim of the paper is to derive optimal local reinsurance contracts balancing the risk measured by variance and expected profits under various mean-variance premium principles of the reinsurer. The reinsurer's premium is calculated per claim. It is found that the optimal rules are combinations of excess of loss and quota share contracts.