Journal article
On the derivation of reinsurance premiums
Abstract
The current thinking in the insurance circle seems to be that reinsurance premiums are determined in the market. The problem is usually analyzed with models from game theory or with a generalized version of the CAPM. This paper offers an alternative model to determine the equilibrium reinsurance premium in terms of the underlying claims faced by the ceding company and the insurance premiums collected. Using an option framework, a model for …
Authors
Chang JSK; Cheung CS; Krinsky I
Journal
Insurance Mathematics and Economics, Vol. 8, No. 2, pp. 137–144
Publisher
Elsevier
Publication Date
June 1989
DOI
10.1016/0167-6687(89)90027-9
ISSN
0167-6687