dc.contributor.author
Castañer, Anna
dc.contributor.author
Claramunt Bielsa, M. Mercè
dc.contributor.author
Mármol, Maite
dc.date.issued
2014-09-15T10:47:06Z
dc.date.issued
2014-09-15T10:47:06Z
dc.date.issued
2014-09-15T10:47:06Z
dc.identifier
https://hdl.handle.net/2445/57177
dc.description.abstract
Reinsurance is one of the tools that an insurer can use to mitigate the underwriting risk and then to control its solvency. In this paper, we focus on the proportional reinsurance arrangements and we examine several optimization and decision
problems of the insurer with respect to the reinsurance strategy. To this end, we use as decision tools not only the probability of ruin but also the random variable deficit at ruin if ruin occurs. The discounted penalty function (Gerber & Shiu, 1998) is employed to calculate as particular cases the probability of ruin and the moments and the distribution function of the deficit at ruin if ruin occurs.
dc.format
application/pdf
dc.publisher
Universitat de Barcelona. Facultat d'Economia i Empresa
dc.relation
Reproducció del document publicat a: http://www.ub.edu/ubeconomics/e14310-some-optimization-and-decision-problems-in-proportional-reinsurance/
dc.relation
UB Economics – Working Papers, 2014, E14/310
dc.relation
[WP E-Eco14/310]
dc.rights
cc-by-nc-nd, (c) Castañer et al., 2014
dc.rights
http://creativecommons.org/licenses/by-nc-nd/3.0/
dc.rights
info:eu-repo/semantics/openAccess
dc.source
UB Economics – Working Papers [ERE]
dc.subject
Reassegurances
dc.subject
Gestió del risc
dc.subject
Matemàtica financera
dc.subject
Risc (Assegurances)
dc.subject
Equacions diferencials
dc.subject
Risk management
dc.subject
Business mathematics
dc.subject
Risk (Insurance)
dc.subject
Differential equations
dc.title
Some optimization and decision problems in proportional reinsurance [WP]
dc.type
info:eu-repo/semantics/workingPaper
