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Title: Some optimization and decision problems in proportional reinsurance
Author: Castañer, Anna
Claramunt Bielsa, M. Mercè
Mármol, Maite
Keywords: Reassegurances
Gestió del risc
Matemàtica financera
Risc (Assegurances)
Equacions diferencials
Risk management
Business mathematics
Risk (Insurance)
Differential equations
Issue Date: 2014
Publisher: Universitat de Barcelona. Facultat d'Economia i Empresa
Series/Report no: [WP E-Eco14/310]
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.
Note: Reproducció del document publicat a:
It is part of: UB Economics – Working Papers, 2014, E14/310
ISSN: 1136-8365
Appears in Collections:UB Economics – Working Papers [ERE]

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