Reinsurance Decision Making and Expected Utility
Utility theory is developed and applied in this article as a choice criterion for decisions concerning which types and extents of reinsurances are most appropriate for an insurer. Using an undimensional utility function, reinsurance options are evaluated by calculating an upper bound premium (i.e., the maximum that the insurer should consider paying for a particular reinsurance agreement), which can be compared with market rates. Comparisons between reinsurance options can thus be accurately made as a function of the probability density function of the original loss, the modifications made by various ceding agreements, and the risk attitude of the insurer.
Insurance, utility theory
Business | Insurance | Management Sciences and Quantitative Methods
Strategy and Organisation
Journal of Risk and Insurance
American Risk and Insurance Association
SAMSON, Danny and Thomas, Howard.
Reinsurance Decision Making and Expected Utility. (1983). Journal of Risk and Insurance. 50, (2), 249-264. Research Collection Lee Kong Chian School Of Business.
Available at: http://ink.library.smu.edu.sg/lkcsb_research/3930