Universitat de Barcelona
2014-09-15T10:47:06Z
2014-09-15T10:47:06Z
2014
2014-09-15T10:47:06Z
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.
Working document
English
Reassegurances; Gestió del risc; Matemàtica financera; Risc (Assegurances); Equacions diferencials; Reinsurance; Risk management; Business mathematics; Risk (Insurance); Differential equations
Universitat de Barcelona. Facultat d'Economia i Empresa
Reproducció del document publicat a: http://www.ub.edu/ubeconomics/e14310-some-optimization-and-decision-problems-in-proportional-reinsurance/
UB Economics – Working Papers, 2014, E14/310
[WP E-Eco14/310]
cc-by-nc-nd, (c) Castañer et al., 2014
http://creativecommons.org/licenses/by-nc-nd/3.0/
