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2016-04-01

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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/215979

Optimal stop-loss reinsurance: a dependence analysis

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Abstract

The stop-loss reinsurance is one of the most important reinsurance contracts in the insurance market. From the insurer point of view, it presents an interesting property: it is optimal if the criterion of minimizing the variance of the cost of the insurer is used. The aim of the paper is to contribute to the analysis of the stop-loss contract in one period from the point of view of the insurer and the reinsurer. Firstly, the in uence of the parameters of the reinsurance contract on the correlation coe fficient between the cost of the insurer and the cost of the reinsurer is studied. Secondly, the optimal stop-loss contract is obtained if the criterion used is the maximization of the joint survival probability of the insurer and the reinsurer in one period.

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Anàlisi de supervivència (Biometria), Reassegurances, Dependència (Estadística)

Subject (English)

Survival analysis (Biometry), Reinsurance, Dependence (Statistics)

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Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)

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CASTAÑER, Anna and CLARAMUNT BIELSA, M. Mercè. Optimal stop-loss reinsurance: a dependence analysis. Hacettepe Journal of Mathematics and Statistics. 2016. Vol. 45, num. 2, pags. 497-519. ISSN 1303-5010. [consulted: 10 of August of 2026]. Available at: https://hdl.handle.net/2445/215979

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