Empirical approach for optimal reinsurance design
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20140025268 | ||
| 003 | MAP | ||
| 005 | 20140731103918.0 | ||
| 008 | 140716e20140602esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20100003206$aSeng Tan, Ken | ||
| 245 | 1 | 0 | $aEmpirical approach for optimal reinsurance design$cKen Seng Tan, Chengguo Weng |
| 520 | $aThis article proposes a novel and practical approach of addressing optimal reinsurance via an empirical approach. This method formulates reinsurance models using the observed data directly and has advantages including (1) transformation of an infinite dimensional optimization problem to a finite dimension, (2) no required explicit distributional assumption on the underlying risk, and (3) many empirical-based reinsurance models can be solved efficiently using the second-order conic programming. This allows insurers to incorporate many desirable objective functions and constraints while still retaining the ease of obtaining optimal reinsurance strategies. Numerical examples, including applications to actual Danish fire loss data, are provided to highlight the efficiency and the practicality of the proposed empirical models. The stability and consistency of the empirical-based solutions are also analyzed numerically. | ||
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 4 | $0MAPA20080611569$aMinimización de riesgos | |
| 650 | 4 | $0MAPA20090025479$aDistribución de pérdidas | |
| 650 | 4 | $0MAPA20080589356$aCálculo de la prima | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080552367$aReaseguro | |
| 700 | 1 | $0MAPA20080119546$aWeng, Chengguo | |
| 773 | 0 | $wMAP20077000239$tNorth American actuarial journal$dSchaumburg : Society of Actuaries, 1997-$x1092-0277$g02/06/2014 Tomo 18 Número 2 - 2014 , p. 315-342 |