The objective of this paper is to analyze - in a Risk-Based Capital framework - the equilibrium conditions between the Insurer (Cedant) and the Reinsurer with respect to linear and non-linear reinsurance strategies or appropriate combinations thereof. The analysis is conducted through a stochastic simulation of the management model of an insurance company managing a portfolio of life annuities.
Optimal reinsurance programs for a portfolio of life annuities / DE ANGELIS, Paolo; Nicolino Ettore, D'Ortona; G., Marcarelli. - In: INSURANCE MARKETS AND COMPANIES: ANALYSES AND ACTUARIAL COMPUTATIONS. - ISSN 2078-2454. - STAMPA. - 2:3(2011), pp. 31-42.
Optimal reinsurance programs for a portfolio of life annuities
DE ANGELIS, Paolo;
2011
Abstract
The objective of this paper is to analyze - in a Risk-Based Capital framework - the equilibrium conditions between the Insurer (Cedant) and the Reinsurer with respect to linear and non-linear reinsurance strategies or appropriate combinations thereof. The analysis is conducted through a stochastic simulation of the management model of an insurance company managing a portfolio of life annuities.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
