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Author Charpentier, Arthur
Source CiteSeerX
Content type Text
File Format PDF
Subject Domain (in DDC) Computer science, information & general works ♦ Data processing & computer science
Subject Keyword Ruin Probability ♦ Ruin Solvency Issue ♦ Reinsurance Parameter ♦ Nonproportional Reinsurance ♦ Proportional Reinsurance ♦ Claim Arrival ♦ Efficient Monte Carlo Algorithm ♦ Optimal Risk Transfer Mechanism ♦ Ruin Probability Target ♦ Optimal Reinsurance ♦ Claim Size ♦ Nonproportional Reinsurance Treaty
Abstract Cahier n ° 2010-06 In this paper, we consider optimal reinsurance from an insurer's point of view. Given a (low) ruin probability target, insurers want to find the optimal risk transfer mechanism, i.e. either a proportional or a nonproportional reinsurance treaty. Since it is usually admitted that reinsurance should lower ruin probabilities, it should be easy to derive an efficient Monte Carlo algorithm to link ruin probability and reinsurance parameter. Unfortunately, if it is possible for proportional reinsurance, this is no longer the case in nonproportional reinsurance. Some examples where reinsurance might increase ruin probabilities are given at the end, when claim arrival and claim size are not independent.
Educational Role Student ♦ Teacher
Age Range above 22 year
Educational Use Research
Education Level UG and PG ♦ Career/Technical Study
Publisher Date 2010-01-01