Optimal stop-loss reinsurance: a dependence analysis
The stop-loss reinsurance is one of the most important reinsurance contracts in the insurance market. From the insurer point of view, it presents an interesting property: it is optimal if the criterion of minimizing the variance of the cost of the insurer is used. The aim of the paper is to contribu...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Estado: | Versión aceptada para publicación |
| Fecha de publicación: | 2016 |
| País: | España |
| Institución: | Universidad de Barcelona |
| Repositorio: | Dipòsit Digital de la UB |
| OAI Identifier: | oai:diposit.ub.edu:2445/215979 |
| Acceso en línea: | https://hdl.handle.net/2445/215979 |
| Access Level: | acceso abierto |
| Palabra clave: | Anàlisi de supervivència (Biometria) Reassegurances Dependència (Estadística) Survival analysis (Biometry) Reinsurance Dependence (Statistics) |
| Sumario: | The stop-loss reinsurance is one of the most important reinsurance contracts in the insurance market. From the insurer point of view, it presents an interesting property: it is optimal if the criterion of minimizing the variance of the cost of the insurer is used. The aim of the paper is to contribute to the analysis of the stop-loss contract in one period from the point of view of the insurer and the reinsurer. Firstly, the in uence of the parameters of the reinsurance contract on the correlation coe fficient between the cost of the insurer and the cost of the reinsurer is studied. Secondly, the optimal stop-loss contract is obtained if the criterion used is the maximization of the joint survival probability of the insurer and the reinsurer in one period. |
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