# name
Some optimization and decision problems in proportional reinsurance [WP]

# metadata.dc.description.abstract[].value
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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Universitat de Barcelona. Facultat d'Economia i Empresa

# metadata.dc.relation.ispartof[].value
UB Economics – Working Papers, 2014, E14/310

# metadata.dc.title[].value
Some optimization and decision problems in proportional reinsurance [WP]