Journal article

Expected utility strategic decision models for general insurers

D Samson

ASTIN Bulletin | Published : 1986

Abstract

AbstractIt has been argued in previous studies that the expected utility decision criterion provides useful insights for certain insurance problems, such as underwriting, reinsurance and portfolio optimization problems. In this study three new models are developed which extend and generalize previous results. The first model analyses modified stop-loss reinsurance. The second model analyses risk pooling where both inward and outward reinsurance occur. Expected utility calculations can be used to provide insight on the attractiveness of competing reinsurance and risk pooling options. The third model is for strategic planning, where risk/reward tradeoffs for all the insurer's business activiti..

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University of Melbourne Researchers

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