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Dhaene, J., Denuit, M., Goovaerts, M.J., Kaas, R. and Vyncke, D. (2002) The Concept of Comonotonicity in Actuarial Science and Finance: Theory. Insurance: Mathematics and Economics, 31, 3-33. https://doi.org/10.1016/S0167-6687(02)00134-8

has been cited by the following article:

• TITLE: Stop-Loss Reinsurance Threshold for Dependent Risks

  AUTHORS: Agnella Nemuo Mandia, Patrick Guge Oloo Weke, Joseph Kyalo Mung’atu

  KEYWORDS: Value-At-Risk, Reinsurance, Dependence, Optimization, Demutualization

  JOURNAL NAME: Journal of Mathematical Finance, Vol.13 No.3, August 11, 2023

  ABSTRACT: This paper examines stop-loss reinsurance threshold for a pool of dependent risk, which is motivated by the fact that insurance penetration in Africa is far below the world’s average rate. The study applies convex combination of quantile measures to produce a linear function with both insurer and reinsurer cost functions which are then minimized to arrive at an optimal retention threshold. Results indicate that threshold is determined by the proportion of risk-sharing, and that the model performs better even with small sample sizes based on Monte Carlo simulation. Finally, it is noted that sustainability of decentralized insurance requires modelling of dependence structure for realistic pricing and reserving methods.