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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
Risk management
Risk assessment
Life insurance
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:
It is part of: TOP, 2012, vol. 20, num. 3, p. 614-638
Related resource:
ISSN: 1134-5764
Appears in Collections:Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)

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