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Indifference pricing of reinsurance with reinstatements using coherent monetary criteria

Recurso electrónico / Electronic resource
Registro MARC
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1001 ‎$0‎MAPA20220002202‎$a‎Kazi-Tani, Nabil
24510‎$a‎Indifference pricing of reinsurance with reinstatements using coherent monetary criteria‎$c‎Nabil Kazi-Tani
520  ‎$a‎We consider the problem of indifference pricing of reinsurance contracts that contain a reinstatement clause. We define the indifference price relative to both a monetary utility function and a risk measure, to take into account both the risk reduction and the relief of capital immobilization provided by reinsurance. We characterize the indifference price as the unique solution to a fixed point equation and we bound the price by two easily computable values, if one has access to losses simulations. We illustrate our results on a European catastrophe insurance portfolio, and we conduct a simulation study for comparison and reproducibility purposes, where we include the case of dependence between claim arrivals, using Hawkes processes.
650 4‎$0‎MAPA20080602529‎$a‎Mercado de reaseguros
650 4‎$0‎MAPA20080602642‎$a‎Modelos de simulación
650 4‎$0‎MAPA20080600501‎$a‎Contrato de reaseguro
7730 ‎$w‎MAP20220007085‎$t‎European Actuarial Journal‎$d‎Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022‎$g‎07/06/2021 Volúmen 11 - Número 1 - junio 2021 , p. 161-183