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http://hdl.handle.net/2445/102784
Title: | Ruin probability and time of ruin with a proportional reinsurance threshold strategy |
Author: | Castañer, Anna Claramunt Bielsa, M. Mercè Mármol, Maite |
Keywords: | Reassegurances Gestió del risc Avaluació del risc Assegurances de vida Supervivència Reinsurance Risk management Risk assessment Life insurance Survival |
Issue Date: | Oct-2012 |
Publisher: | Springer Verlag |
Abstract: | In this paper, we present a threshold proportional reinsurance strategy and we analyze the effect on some solvency measures: ruin probability and time of ruin. This dynamic reinsurance strategy assumes a retention level that is not constant and depends on the level of the surplus. In a model with inter-occurrence times being generalized Erlang(n)-distributed, we obtain the integro-differential equation for the Gerber-Shiu function. Then, we present the solution for inter-occurrence times exponentially distributed and claim amount phase-type(N). Some examples for exponential and phase-type(2) claim amount are presented. Finally, we show some comparisons between threshold reinsurance and proportional reinsurance. |
Note: | Versió postprint del document publicat a: http://dx.doi.org/10.1007/s11750-010-0165-5 |
It is part of: | TOP, 2012, vol. 20, num. 3, p. 614-638 |
URI: | http://hdl.handle.net/2445/102784 |
Related resource: | http://dx.doi.org/10.1007/s11750-010-0165-5 |
ISSN: | 1134-5764 |
Appears in Collections: | Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial) |
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