Ruin probability and time of ruin with a proportional reinsurance threshold strategy
In 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 in...
| Autores: | , , |
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| Formato: | artículo |
| Estado: | Versión aceptada para publicación |
| Fecha de publicación: | 2012 |
| País: | España |
| Recursos: | Universidad de Barcelona |
| Repositorio: | Dipòsit Digital de la UB |
| OAI Identifier: | oai:diposit.ub.edu:2445/102784 |
| Acesso em linha: | https://hdl.handle.net/2445/102784 |
| Access Level: | acceso abierto |
| Palavra-chave: | Reassegurances Gestió del risc Avaluació del risc Assegurances de vida Supervivència Reinsurance Risk management Risk assessment Life insurance Survival |
| Resumo: | In 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. |
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