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http://hdl.handle.net/2445/102784
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DC Field | Value | Language |
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dc.contributor.author | Castañer, Anna | - |
dc.contributor.author | Claramunt Bielsa, M. Mercè | - |
dc.contributor.author | Mármol, Maite | - |
dc.date.accessioned | 2016-10-20T07:13:38Z | - |
dc.date.available | 2016-10-20T07:13:38Z | - |
dc.date.issued | 2012-10 | - |
dc.identifier.issn | 1134-5764 | - |
dc.identifier.uri | http://hdl.handle.net/2445/102784 | - |
dc.description.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. | - |
dc.format.extent | 25 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | eng | - |
dc.publisher | Springer Verlag | - |
dc.relation.isformatof | Versió postprint del document publicat a: http://dx.doi.org/10.1007/s11750-010-0165-5 | - |
dc.relation.ispartof | TOP, 2012, vol. 20, num. 3, p. 614-638 | - |
dc.relation.uri | http://dx.doi.org/10.1007/s11750-010-0165-5 | - |
dc.rights | (c) Spanish Society of Statistics and Operations Research, 2012 | - |
dc.source | Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial) | - |
dc.subject.classification | Reassegurances | - |
dc.subject.classification | Gestió del risc | - |
dc.subject.classification | Avaluació del risc | - |
dc.subject.classification | Assegurances de vida | - |
dc.subject.classification | Supervivència | - |
dc.subject.other | Reinsurance | - |
dc.subject.other | Risk management | - |
dc.subject.other | Risk assessment | - |
dc.subject.other | Life insurance | - |
dc.subject.other | Survival | - |
dc.title | Ruin probability and time of ruin with a proportional reinsurance threshold strategy | - |
dc.type | info:eu-repo/semantics/article | - |
dc.type | info:eu-repo/semantics/acceptedVersion | - |
dc.identifier.idgrec | 582281 | - |
dc.date.updated | 2016-10-20T07:13:43Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial) |
Files in This Item:
File | Description | Size | Format | |
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582281.pdf | 383.71 kB | Adobe PDF | View/Open |
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