کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076504 1477210 2015 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Optimal non-life reinsurance under Solvency II Regime
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Optimal non-life reinsurance under Solvency II Regime
چکیده انگلیسی
The optimal reinsurance contract is investigated from the perspective of an insurer who would like to minimise its risk exposure under Solvency II. Under this regulatory framework, the insurer is exposed to the retained risk, reinsurance premium and change in the risk margin requirement as a result of reinsurance. Depending on how the risk margin corresponding to the reserve risk is calculated, two optimal reinsurance problems are formulated. We show that the optimal reinsurance policy can be in the form of two layers. Further, numerical examples illustrate that the optimal two-layer reinsurance contracts are only slightly different under these two methodologies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 65, November 2015, Pages 227-237
نویسندگان
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