The objective of this paper is to analyze - in a Risk-Based Capital framework - the equilibrium conditions between the Insurer (Cedant) and the Reinsurer in respect to appropriate combinations of linear and non-linear reinsurance strategies, dealing with longevity and financial risks. The analysis is conducted through a stochastic simulation of the management model of a life insurance company.
The aim of the paper is to analyze - in a Risk-Based Capital framework - the equilibrium between the Insurer and the reinsurer in respect to appropriate combinations of linear and non-linear reinsurance strategies, dealing with longevity and financial risks. The analysis is conducted through a stochastic simulation of the management model of a life insurance company.
Optimal reinsurance programs bearing demographic and financial risks / DE ANGELIS, Paolo; D'Ortona, Nicolino; Tripodi, Agostino. - In: MATHEMATICAL METHODS IN ECONOMICS AND FINANCE. - ISSN 1971-6419. - STAMPA. - vol. 8 - n. 1:(2013), pp. 35-50.
Optimal reinsurance programs bearing demographic and financial risks
DE ANGELIS, Paolo;TRIPODI, AGOSTINO
2013
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 in respect to appropriate combinations of linear and non-linear reinsurance strategies, dealing with longevity and financial risks. The analysis is conducted through a stochastic simulation of the management model of a life insurance company.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
