Castañer, AnnaClaramunt Bielsa, M. MercèMármol, Maite2016-10-202016-10-202012-101134-5764https://hdl.handle.net/2445/102784In this paper, we present a threshold proportional reinsurance strategy and we analyze the effect on some solvency measures: ruin probability and time of ruin. This dynamic reinsurance strategy assumes a retention level that is not constant and depends on the level of the surplus. In a model with inter-occurrence times being generalized Erlang(n)-distributed, we obtain the integro-differential equation for the Gerber-Shiu function. Then, we present the solution for inter-occurrence times exponentially distributed and claim amount phase-type(N). Some examples for exponential and phase-type(2) claim amount are presented. Finally, we show some comparisons between threshold reinsurance and proportional reinsurance.25 p.application/pdfeng(c) Spanish Society of Statistics and Operations Research, 2012ReassegurancesGestió del riscAvaluació del riscAssegurances de vidaSupervivènciaReinsuranceRisk managementRisk assessmentLife insuranceSurvivalinfo:eu-repo/semantics/article5822812016-10-20info:eu-repo/semantics/openAccess