Determination Of Optimal Retention In Excess-Loss Reinsurance

In brief, the reinsurance is insurer's insurance. The reinsurance is very important to disperser insurance management risk, stable account executive and expand the insurance ability of the insurance company. At the same time, it can influence the whole finance industry. The reinsurance is to find optimal contact under the different criterion in the economical theorem. By removed partial risk, the insurance company reduced its profits. Therefore, it is valuable to research optimal retention by weight the relation between profit and risk.Firstly, talk about the basic concept and characteristic of classical insurance, secondly we discussed the determination of optimal retention in excess-loss reinsurance. Use the method of game theory and insurance theory, we study cooperative game and non- cooperative game models on the optimal insurance contract theory. Aiming at complete information, incomplete information and asymmetric information, we proposed determination of optimal retention by dynamic game theory. Furthermore, we proposed two optimal retention models on the reinsurance by Borch theory (nets of reinsurance and chains of reinsurance).