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.
Optimal reinsurance programs for a portfolio of life annuities
D'ORTONA N;MARCARELLI G
2011-01-01
Abstract
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.File in questo prodotto:
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