Preprint Article Version 1 NOT YET PEER-REVIEWED

Optimization of Surplus Reinsurance Treaty with Multiple Proportionality Factors

  1. Department of Mathematics, Mohamed V University, Faculty of Sciences-Rabat, Morocco
  2. Department of Statistics and Mathematics Applied to Economics and Management, Faculty of Juridical Sciences, Economic and Social-Ain Sebaa, Morocco
Version 1 : Received: 26 October 2016 / Approved: 27 October 2016 / Online: 27 October 2016 (11:28:18 CEST)

How to cite: El Attar, A.; Guennoun, Z.; El Hachloufi, M. Optimization of Surplus Reinsurance Treaty with Multiple Proportionality Factors. Preprints 2016, 2016100115 (doi: 10.20944/preprints201610.0115.v1). El Attar, A.; Guennoun, Z.; El Hachloufi, M. Optimization of Surplus Reinsurance Treaty with Multiple Proportionality Factors. Preprints 2016, 2016100115 (doi: 10.20944/preprints201610.0115.v1).

Abstract

In this paper, we propose an approach that allows us to determine an optimal allocation of the "surplus" type of proportional reinsurance with multiple proportionality factors. We determine the maximum amounts of complaint that the insurer wishes to assume, and the maximum values that risks could take, allowing us to then find the optimal proportionality factors that characterize this optimal allocation of reinsurance. This approach also maximizes the technical benefit of an insurance company and minimizes the variance using an optimization method based on genetic algorithms.

Subject Areas

insurance; reinsurance; technical benefit; pricing mode; surplus; proportionality factors; genetic algorithms

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