Title: An Optimal Combination of Proportional and Stop-Loss Reinsurance Contracts From Insurer's and Reinsurer's Viewpoints,
Abstract: A reinsurance contract should address the conflicting interests of the
insurer and reinsurer. Most of existing optimal reinsurance contracts only
considers the interests of one party. This article combines the proportional
and stop-loss reinsurance contracts and introduces a new reinsurance contract
called proportional-stop-loss reinsurance. Using the balanced loss function,
unknown parameters of the proportional-stop-loss reinsurance have been
estimated such that the expected surplus for both the insurer and reinsurer are
maximized. Several characteristics for the new reinsurance are provided.