Reinsurance retention levels for property/liability firms. A managerial portfolio selection framework

Yoram Kroll; David Nye

doi:10.1016/0167-6687(91)90004-H

Reinsurance retention levels for property/liability firms. A managerial portfolio selection framework

Yoram Kroll^*, David Nye

^*Corresponding author for this work

BA Business Department

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

This paper presents a managerial portfolio selection model which analyzes the reinsurance decision of the ceding insurer. Alternative goal functions for management are assumed and then comparative statics, as well as illustrative numerical examples are used to develop testable implications concerning the optimal proportional reinsurance retention level for property/liability insurance firms.

Original language	English
Pages (from-to)	109-123
Number of pages	15
Journal	Insurance: Mathematics and Economics
Volume	10
Issue number	2
DOIs	https://doi.org/10.1016/0167-6687(91)90004-H
State	Published - Jul 1991

Keywords

Goal functions
Optimal retention
Portfolio selection
Property-liability
Proportional reinsurance

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10.1016/0167-6687(91)90004-H

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title = "Reinsurance retention levels for property/liability firms. A managerial portfolio selection framework",

abstract = "This paper presents a managerial portfolio selection model which analyzes the reinsurance decision of the ceding insurer. Alternative goal functions for management are assumed and then comparative statics, as well as illustrative numerical examples are used to develop testable implications concerning the optimal proportional reinsurance retention level for property/liability insurance firms.",

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author = "Yoram Kroll and David Nye",

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AB - This paper presents a managerial portfolio selection model which analyzes the reinsurance decision of the ceding insurer. Alternative goal functions for management are assumed and then comparative statics, as well as illustrative numerical examples are used to develop testable implications concerning the optimal proportional reinsurance retention level for property/liability insurance firms.

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KW - Optimal retention

KW - Portfolio selection

KW - Property-liability

KW - Proportional reinsurance

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Reinsurance retention levels for property/liability firms. A managerial portfolio selection framework

Abstract

Keywords

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