dc.contributor
Xarxa de Referència en Economia Aplicada (XREAP)
dc.contributor.author
Castañer, Anna
dc.contributor.author
Claramunt Bielsa, M. Mercè, 1964-
dc.date.accessioned
2014-04-23T09:56:21Z
dc.date.accessioned
2021-01-20T16:45:57Z
dc.date.accessioned
2024-11-29T09:40:13Z
dc.date.available
2014-04-23T09:56:21Z
dc.date.available
2021-01-20T16:45:57Z
dc.date.available
2024-11-29T09:40:13Z
dc.identifier.uri
http://hdl.handle.net/2072/228218
dc.description.abstract
The stop-loss reinsurance is one of the most important reinsurance contracts in the insurance market. From the insurer point of view, it presents an interesting property: it is optimal if the criterion of minimizing the variance of the cost of the insurer is used. The aim of the paper is to contribute to the analysis of the stop-loss contract in one period from the point of view of the insurer and the reinsurer. Firstly, the influence of the parameters of the reinsurance contract on the correlation coefficient between the cost of the insurer and the cost of the reinsurer is studied. Secondly, the optimal stop-loss contract is obtained if the criterion used is the maximization of the joint survival probability of the insurer and the reinsurer in one period.
cat
dc.publisher
Xarxa de Referència en Economia Aplicada (XREAP)
dc.relation.ispartofseries
XREAP2014;04
dc.rights
info:eu-repo/semantics/openAccess
dc.rights
L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.source
RECERCAT (Dipòsit de la Recerca de Catalunya)
dc.subject.other
Reassegurances
dc.subject.other
Reinsurance
dc.subject.other
Matemàtica financera
dc.subject.other
Actuarial mathematics
dc.title
Optimal stop-loss reinsurance: a dependence analysis
dc.type
info:eu-repo/semantics/workingPaper
