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

MAP20220017619

How Much Is Optimal Reinsurance Degraded by Error? / Yinzhi Wang, Erik Bølviken

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

En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 13/06/2022 Tomo 26 Número 2 - 2022 , p. 283-297

1. Mercado de reaseguros . 2. Matemática del seguro . I. Título.