Optimal stop-loss reinsurance: a dependence analysis

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RECERCAT Home > Universitat de Barcelona > Xarxa de Referència en Economia Aplicada (XREAP) > Documents de treball de la Xarxa de Referència en Economia Aplicada (XREAP) > View document

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

dc.contributor	Xarxa de Referència en Economia Aplicada (XREAP)
dc.contributor.author	Castañer, Anna
dc.contributor.author	Claramunt Bielsa, M. Mercè, 1964-
dc.date.accessioned	2014-04-23T09:56:21Z
dc.date.accessioned	2021-01-20T16:45:57Z
dc.date.available	2014-04-23T09:56:21Z
dc.date.available	2021-01-20T16:45:57Z
dc.date.created	2014-04
dc.date.issued	2014-04
dc.identifier.uri	http://hdl.handle.net/2072/228218
dc.format.extent	32 p.
dc.language.iso	eng
dc.publisher	Xarxa de Referència en Economia Aplicada (XREAP)
dc.relation.ispartofseries	XREAP2014;04
dc.rights	info:eu-repo/semantics/openAccess
dc.rights	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/
dc.source	RECERCAT (Dipòsit de la Recerca de Catalunya)
dc.subject.other	Reassegurances
dc.subject.other	Reinsurance
dc.subject.other	Matemàtica financera
dc.subject.other	Actuarial mathematics
dc.title	Optimal stop-loss reinsurance: a dependence analysis
dc.type	info:eu-repo/semantics/workingPaper
dc.subject.udc	33 - Economia
dc.embargo.terms	cap
dc.description.abstract	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.

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