Reinsurance—a new approach
Volume 90 / 2010
Banach Center Publications 90 (2010), 139-151
MSC: Primary 91B30; Secondary 60G17.
DOI: 10.4064/bc90-0-9
Abstract
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 $L_2$-norm. An unexpected relation to the general theory of sample regularity of stochastic processes is given.
