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When the insurer and reinsurance company take arbitrary risk measures, sufficient conditions for optimality of reinsurance contract are given within the restricted class of admissible contracts.
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Further, the explicit forms of optimal reinsurance contract under several special risk measures are given, and the method to decide parameters as well.
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If there is no penalty for nonconcluded contract (the insured accident occurs before conclusion of the contract), then the greater the ratio, the greater on the average the relative insurer's profit from the enterprise.
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The behavior of confidence sets when variances of nonrandom perturbations tend to zero and sets of uncertainty of random perturbations contract to a point is studied.
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Comparative estimates of the efficiencies of the compensating, linear, and contract (competitive) tariff-premium stimulation systems are found.
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