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Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/57177
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dc.contributor.authorCastañer, Anna-
dc.contributor.authorClaramunt Bielsa, M. Mercè-
dc.contributor.authorMármol, Maite-
dc.date.accessioned2014-09-15T10:47:06Z-
dc.date.available2014-09-15T10:47:06Z-
dc.date.issued2014-
dc.identifier.issn1136-8365-
dc.identifier.urihttp://hdl.handle.net/2445/57177-
dc.description.abstractReinsurance 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.-
dc.format.extent29 p.-
dc.format.mimetypeapplication/pdf-
dc.language.isoeng-
dc.publisherUniversitat de Barcelona. Facultat d'Economia i Empresa-
dc.relation.isformatofReproducció del document publicat a: http://www.ub.edu/ubeconomics/e14310-some-optimization-and-decision-problems-in-proportional-reinsurance/-
dc.relation.ispartofUB Economics – Working Papers, 2014, E14/310-
dc.relation.ispartofseries[WP E-Eco14/310]-
dc.rightscc-by-nc-nd, (c) Castañer et al., 2014-
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/-
dc.sourceUB Economics – Working Papers [ERE]-
dc.subject.classificationReassegurances-
dc.subject.classificationGestió del risc-
dc.subject.classificationMatemàtica financera-
dc.subject.classificationRisc (Assegurances)-
dc.subject.classificationEquacions diferencials-
dc.subject.otherReinsurance-
dc.subject.otherRisk management-
dc.subject.otherBusiness mathematics-
dc.subject.otherRisk (Insurance)-
dc.subject.otherDifferential equations-
dc.titleSome optimization and decision problems in proportional reinsurance [WP]-
dc.typeinfo:eu-repo/semantics/workingPaper-
dc.date.updated2014-09-15T10:47:06Z-
dc.rights.accessRightsinfo:eu-repo/semantics/openAccess-
Appears in Collections:UB Economics – Working Papers [ERE]
Documents de treball (Matemàtica Econòmica, Financera i Actuarial)

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