Final results of a research on the riskiness of a life policies portfolio with dread disease coverage are presented, referring to the insurer's point of view. By means of first and second moments of the random present value of gain on a single policy, portfolio ruin probability's estimates are derived under either Cebicev-Cantelli's inequality or normal distribution hypothesis, in presence of a low positive correlation among risks and also introducing optimal strategies referred to a surplus reinsurance treaty to face the correlation's effects. By means of numerical applications based on insurance company's experiences it is demonstrated that the riskiness and the ruin probability increase when a binary correlation exists.
The riskiness and the reinsurance in life portfolio with dread-disease coverage / E., Cardona; DE ANGELIS, Paolo; VOLPE DI PRIGNANO, Ernesto. - In: STUDIA UNIVERSITATIS BABES-BOLYAI. OECONOMICA. - ISSN 1220-0506. - STAMPA. - 1:(2005), pp. 27-42.
The riskiness and the reinsurance in life portfolio with dread-disease coverage
DE ANGELIS, Paolo;VOLPE DI PRIGNANO, Ernesto
2005
Abstract
Final results of a research on the riskiness of a life policies portfolio with dread disease coverage are presented, referring to the insurer's point of view. By means of first and second moments of the random present value of gain on a single policy, portfolio ruin probability's estimates are derived under either Cebicev-Cantelli's inequality or normal distribution hypothesis, in presence of a low positive correlation among risks and also introducing optimal strategies referred to a surplus reinsurance treaty to face the correlation's effects. By means of numerical applications based on insurance company's experiences it is demonstrated that the riskiness and the ruin probability increase when a binary correlation exists.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
