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;
2013-01-01
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.File in questo prodotto:
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