Use this identifier to quote or link this document: http://hdl.handle.net/2072/228218

Optimal stop-loss reinsurance: a dependence analysis
Castañer, Anna; Claramunt Bielsa, M. Mercè, 1964-
Xarxa de Referència en Economia Aplicada (XREAP)
The stop-loss reinsurance is one of the most important reinsurance contracts in the insurance market. From the insurer point of view, it presents an interesting property: it is optimal if the criterion of minimizing the variance of the cost of the insurer is used. The aim of the paper is to contribute to the analysis of the stop-loss contract in one period from the point of view of the insurer and the reinsurer. Firstly, the influence of the parameters of the reinsurance contract on the correlation coefficient between the cost of the insurer and the cost of the reinsurer is studied. Secondly, the optimal stop-loss contract is obtained if the criterion used is the maximization of the joint survival probability of the insurer and the reinsurer in one period.
2014-04
33 - Economia
Reassegurances
Reinsurance
Matemàtica financera
Actuarial mathematics
L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: http://creativecommons.org/licenses/by-nc-nd/3.0/es/
32 p.
Working Paper
Xarxa de Referència en Economia Aplicada (XREAP)
XREAP2014;04
         

Full text files in this document

Files Size Format
XREAP2014-04.pdf 893.1 KB PDF

Show full item record

Related documents

Other documents of the same author

Salcedo-Sanz, Sancho; Carro Calvo, L.; Claramunt Bielsa, M. Mercè, 1964-; Castañer, Anna; Mármol, Maite
 

Coordination

 

Supporters