The objective of this paper is to analyze - in a Risk-Based Capital frame work - the equilibrium conditions between the Insurer (Cedant) and the Reinsurer in respect to appropriate combinations of linear and non-linear reinsurance strategies, dealing with longevity and financial risks. The analysis is conducted through a stochastic simulation of the management model of a life insurance company.

Optimal Reinsurance Programs Bearing Demographic and Financial Risks

D'ORTONA, NICOLINO ETTORE;
2013

Abstract

The objective of this paper is to analyze - in a Risk-Based Capital frame work - the equilibrium conditions between the Insurer (Cedant) and the Reinsurer in respect to appropriate combinations of linear and non-linear reinsurance strategies, dealing with longevity and financial risks. The analysis is conducted through a stochastic simulation of the management model of a life insurance company.
Reinsurance programs; Solvency Requirement; Longevity risk
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.12070/4086
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