Maximization of the variance of a stop-loss reinsured risk |
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| Authors: | F De Vylder M Goovaerts |
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| Institution: | Universitè Catholique de Louvain, Louvain-La-Neuve, Belgium;Katholieke Universiteit Leuven, Leuven, Belgium |
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| Abstract: | We solve the following problems: Find the maximum variance of a stop-loss reinsured risk (R?t)+ when only the range of the risk R and its two first moments are known. Find the distribution of R leading to that maximum variance.The solution is complete for all practical values of the involved parameters. |
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| Keywords: | Stop-loss reinsurance Retention limit |
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