کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076623 | 1477218 | 2014 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Optimal reinsurance with regulatory initial capital and default risk
ترجمه فارسی عنوان
بیمه بازنشستگی بهینه با سرمایه اولیه و خطر پیش فرض
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کلمات کلیدی
بیمه پس انداز بهینه حق بیمه مجدد، ارزش در معرض خطر، ریسک پیش بینی شده توسط طرف مقابل، عملکرد سودمند سفارش محدب،
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
In a reinsurance contract, a reinsurer promises to pay the part of the loss faced by an insurer in exchange for receiving a reinsurance premium from the insurer. However, the reinsurer may fail to pay the promised amount when the promised amount exceeds the reinsurer's solvency. As a seller of a reinsurance contract, the initial capital or reserve of a reinsurer should meet some regulatory requirements. We assume that the initial capital or reserve of a reinsurer is regulated by the value-at-risk (VaR) of its promised indemnity. When the promised indemnity exceeds the total of the reinsurer's initial capital and the reinsurance premium, the reinsurer may fail to pay the promised amount or default may occur. In the presence of the regulatory initial capital and the counterparty default risk, we investigate optimal reinsurance designs from an insurer's point of view and derive optimal reinsurance strategies that maximize the expected utility of an insurer's terminal wealth or minimize the VaR of an insurer's total retained risk. It turns out that optimal reinsurance strategies in the presence of the regulatory initial capital and the counterparty default risk are different both from optimal reinsurance strategies in the absence of the counterparty default risk and from optimal reinsurance strategies in the presence of the counterparty default risk but without the regulatory initial capital.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 57, July 2014, Pages 13-24
Journal: Insurance: Mathematics and Economics - Volume 57, July 2014, Pages 13-24
نویسندگان
Jun Cai, Christiane Lemieux, Fangda Liu,