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E14-310_Castaner.pdf (953.56 KB)

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Working paper

Publication date

2014

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cc-by-nc-nd, (c) Castañer et al., 2014
Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/57177

Some optimization and decision problems in proportional reinsurance [WP]

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Abstract

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.

Subject

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

Subject (English)

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

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

Citation

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: 9 of August of 2026]. Available at: https://hdl.handle.net/2445/57177

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