Centro de Documentacion de Fundación MAPFRE - How Much Is Optimal Reinsurance Degraded by Error?

Notes: Sumario: Estimation error reduces reinsurance optimality under a fitted model to suboptimality under the true one. A mathematical formulation of this issue of degradation is offered and examined through asymptotics as the sample size n of the historical observations becoming infinite. Assuming economic or distortion pricing of reinsurance it is shown that the rate of degradation is either Related records: En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 13/06/2022 Tomo 26 Número 2 - 2022 , p. 283-297Materia / lugar / evento: Mercado de reaseguros Matemática del seguro Other categories: 6

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