How Much Is Optimal Reinsurance Degraded by Error?

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<title>How Much Is Optimal Reinsurance Degraded by Error?</title>
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<namePart>Wang, Yinzhi</namePart>
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<abstract displayLabel="Summary">Estimation error reduces reinsurance optimality under a fitted model to suboptimality under the true one. A mathematical formulation of this issue of degradation is offered and examined through asymptotics as the sample size n of the historical observations becoming infinite. Assuming economic or distortion pricing of reinsurance it is shown that the rate of degradation is either </abstract>
<note type="statement of responsibility">Yinzhi Wang, Erik Bølviken</note>
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<topic>Mercado de reaseguros</topic>
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<topic>Matemática del seguro</topic>
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<title>North American actuarial journal</title>
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<publisher>Schaumburg : Society of Actuaries, 1997-</publisher>
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<identifier type="issn">1092-0277</identifier>
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<text>13/06/2022 Tomo 26 Número 2 - 2022 , p. 283-297</text>
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