We describe a new model of multiple reinsurance. The main idea is that the reinsurance premium is paid conditionally. It is motivated by some analysis of the ultimate price of the reinsurance contract. For simplicity we assume that the underlying risk pricing functional is the L₂-norm. An unexpected relation to the general theory of sample regularity of stochastic processes is given.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-bc90-0-9,
author = {Adam Paszkiewicz and Jakub Olejnik},
title = {Reinsurance-a new approach},
journal = {Banach Center Publications},
volume = {89},
year = {2010},
pages = {139-151},
zbl = {1207.91032},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-bc90-0-9}
}
Adam Paszkiewicz; Jakub Olejnik. Reinsurance-a new approach. Banach Center Publications, Tome 89 (2010) pp. 139-151. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-bc90-0-9/