The objective of this paper is to analyze - in a Risk-Based Capital framework - the equilibrium conditions between the Insurer (Cedant) and the Reinsurer with respect to linear and non-linear reinsurance strategies or appropriate combinations thereof. The analysis is conducted through a stochastic simulation of the management model of an insurance company managing a portfolio of life annuities.
|Titolo:||Optimal reinsurance programs for a portfolio of life annuities|
|Data di pubblicazione:||2011|
|Appare nelle tipologie:||1.1 Articolo in rivista|