Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/42121
Title: | El reaseguro proporcional de umbral y su influencia en la probabilidad y el momento de ruina en una cartera de seguros no vida |
Author: | Castañer, Anna |
Director/Tutor: | Claramunt Bielsa, M. Mercè Mármol, Maite |
Keywords: | Reassegurances Risc (Assegurances) Transformació de Laplace Reinsurance Risk (Insurance) Laplace transformation |
Issue Date: | 16-Jul-2009 |
Publisher: | Universitat de Barcelona |
Abstract: | [spa] En la presente tesis se plantea y analiza una nueva estrategia de reaseguro denominada estrategia de reaseguro proporcional de umbral, que consiste en aplicar diferentes niveles de retención en función de las reservas. Esta nueva estrategia de reaseguro permite mejorar la solvencia de la cartera de seguros no vida, al compararla con un modelo sin reaseguro y un modelo con reaseguro proporcional. Así, se plantea el cálculo de la probabilidad de ruina y momento de ruina como medidas de solvencia, y se obtiene la combinación óptima de los porcentajes de retención y del nivel de umbral que minimizan las probabilidades de ruina. [eng] "The threshold proportional reinsurance and its influence on the probability and the time of ruin in a non-life insurance portfolio"TEXT:In the current thesis a new reinsurance strategy is analyzed: the threshold proportional reinsurance strategy, where different levels of retention are applied depending on the level of reserves. This new reinsurance strategy allows us to improve the solvency of the non-life insurances portfolio when compared with a model without reinsurance and a model with proportional reinsurance. Thus, the probability of ruin and the time of ruin, two measures of solvency, are presented. Then, the optimal combination of the retention percentages and the threshold level that minimizes ruin probabilities are obtained. |
URI: | http://hdl.handle.net/2445/42121 |
ISBN: | 9788469279083 |
Appears in Collections: | Tesis Doctorals - Departament - Matemàtica Econòmica, Financera i Actuarial |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
ACG_TESIS.pdf | 1.93 MB | Adobe PDF | View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.