A "square-root rule" for reinsurance

Revista Contabilidade & Finanças

Michael R. Powers²  Martin Shubik¹ 

[1] ,Temple University Advanta Center for Financial Services Studies ,USA

关键词: Primary insurance;    reinsurance;    retrocession;    market size;    square-root rule;    Seguro primário;    resseguro;    retrocessão;    tamanho do mercado;    regra de raiz quadrada;   

DOI  :  10.1590/S1519-70772006000500008

来源: SciELO

【 摘 要 】

In previous work, the authors derived a mathematical expression for the optimal (or "saturation") number of reinsurers for a given number of primary insurers (see Powers and Shubik, 2001). In the current article, we show analytically that, for large numbers of primary insurers, this mathematical expression provides a "square-root rule"; i.e., the optimal number of reinsurers in a market is given asymptotically by the square root of the total number of primary insurers. We note further that an analogous "fourth-root rule" applies to markets for retrocession (the reinsurance of reinsurance).

【 授权许可】

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