Multivariate Insurance Portfolio Risk Retention Using the Method of Multipliers
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|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20230026151 | ||
| 003 | MAP | ||
| 005 | 20240104185514.0 | ||
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| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20200006541$aLee, Gee Y | ||
| 245 | 1 | 0 | $aMultivariate Insurance Portfolio Risk Retention Using the Method of Multipliers$cGee Y. Lee |
| 520 | $aFor an insurance company insuring multiple risks, capital allocation is an important practical problem. In the capital allocation problem, the insurance company must determine the amount of capital to assign to each policy or, equivalently, the amount of premium to be collected from each policy. Doing this relates to the problem of determining the risk retention parameters for each policy within the portfolio. In this article, the insurance risk retention problem of determining the optimal retention parameters is explored in a multivariate context. Given an underlying claims distribution and premium constraint, we are interested in finding the optimal amount of risk to retain or, equivalently, which level of risk retention parameters should be chosen by an insurance company | ||
| 650 | 4 | $0MAPA20080590567$aEmpresas de seguros | |
| 650 | 4 | $0MAPA20080598778$aRetención de riesgos | |
| 650 | 4 | $0MAPA20150020307$aAsignación de capital | |
| 650 | 4 | $0MAPA20080581886$aPrimas de seguros | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080556495$aSiniestros | |
| 773 | 0 | $wMAP20077000239$g04/12/2023 Tomo 27 Número 4 - 2023 , 787-805$x1092-0277$tNorth American actuarial journal$dSchaumburg : Society of Actuaries, 1997- | |
| 856 | 0 | 0 | $yMÁS INFORMACIÓN$u mailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A |
| 856 | 0 | 0 | $umailto:centrodocumentacion@fundacionmapfre.org?subject=Consulta%20de%20una%20publicaci%C3%B3n%20&body=Necesito%20m%C3%A1s%20informaci%C3%B3n%20sobre%20este%20documento%3A%20%0A%0A%5Banote%20aqu%C3%AD%20el%20titulo%20completo%20del%20documento%20del%20que%20desea%20informaci%C3%B3n%20y%20nos%20pondremos%20en%20contacto%20con%20usted%5D%20%0A%0AGracias%20%0A |