Indifference Pricing in Reinsurance Using Coherent Monetary Criteria

Nabil Kazi-Tani (1)

1 SAF - Laboratoire de Sciences Actuarielle et Financière

This paper focuses on a non-proportional reinsurance pricing problem, for a layer contract with reinstatements. After defining the indifference price with respect to both a concave utility function and a convex risk measure, we prove that is is contained in some interval whose bounds are easily calculable. We provide numerical examples computed from real insurance data.

Mots clés: Insurance premium calculation; Coherent risk measures; Concave monetary utility functions; Reinstatements; Reinsurance layers

Domaines: Probabilités [math.PR]; Pricing [q-fin.PR]; Gestion des risques [q-fin.RM]

Nabil Kazi-Tani. Indifference Pricing in Reinsurance Using Coherent Monetary Criteria. 2018. ⟨hal-01742638v1⟩