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Si us plau utilitzeu sempre aquest identificador per citar o enllaçar aquest document: https://hdl.handle.net/2445/57177
Some optimization and decision problems in proportional reinsurance [WP]
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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.
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CASTAÑER, Anna, CLARAMUNT BIELSA, M. mercè, MÁRMOL, Maite. Some optimization and decision problems in proportional reinsurance [WP]. _UB Economics – Working Papers_. 2014. Vol. E14/310. [consulta: 10 de desembre de 2025]. ISSN: 1136-8365. [Disponible a: https://hdl.handle.net/2445/57177]