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:
| File | Dimensione | Formato | |
|---|---|---|---|
|
IMC_2011_3_Angelis.pdf
non disponibili
Licenza:
Non specificato
Dimensione
419.04 kB
Formato
Adobe PDF
|
419.04 kB | Adobe PDF | Visualizza/Apri Richiedi una copia |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
