Dipartimento di Scienze Statistiche

Prof. Antonio Josè Heras Martinez
Università Complutense di Madrid

In this seminar we will study the optimal reinsurance problem when risk is measured by a general risk measure. Necessary and sufficient optimality conditions are given for a wide family of risk measures, including deviation measures, expectation bounded risk measures and coherent measures of risk. The optimality conditions are then used to verify whether the classical reinsurance contracts (quota-share, stop-loss) are optimal essentially, regardless of the risk measure used.