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E14-310_Castaner.pdf (953.56 KB)

Tipus de document

Document de treball

Data de publicació

2014

Llicència de publicació

cc-by-nc-nd, (c) Castañer et al., 2014
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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Director/Tutor

ISSN de la revista

Títol del volum

Recurs relacionat

Resum

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.

Matèries

Reassegurances, Gestió del risc, Matemàtica financera, Risc (Assegurances), Equacions diferencials

Matèries (anglès)

Reinsurance, Risk management, Business mathematics, Risk (Insurance), Differential equations

Citació

Col·leccions

UB Economics – Working Papers [ERE]
Documents de treball (Matemàtica Econòmica, Financera i Actuarial)

Citació

CASTAÑER, Anna, CLARAMUNT BIELSA, M. Mercè and MÁRMOL, Maite. Some optimization and decision problems in proportional reinsurance [WP]. UB Economics – Working Papers. 2014. Vol.  E14/310. ISSN 1136-8365. [consulted: 23 of May of 2026]. Available at: https://hdl.handle.net/2445/57177

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