| Abstract [eng] |
Optimal Quota-Share Reinsurance under Spectral Risk Measures This thesis presents optimal quota-share reinsurance under spectral risk measures theorem and spectral risk measures theory that is necessary to prove it. Risk measures such as Value at Risk (VaR) and Conditional Tail Expectation (CTE) are introduced, together with optimization of these measures under quota-share reinsurance coefficient. Along with that Dutch, semi-variance and quadratic utility premium principles are reviewed and used for calculating optimal quota-share reinsurance. The practical part of the thesis provides an analysis of simulated data in order to verify how optimal quota-share reinsurance method could be applied by insurance company. Theoretical descriptions of optimal quota-share reinsurance method is also adapted for losses with exponential and Pareto distributions -- optimal quota-share reinsurances under these distributions are compared. The process and results of analysis are provided in the practical part of the thesis. |
