Indifference pricing of reinsurance with reinstatements using coherent monetary criteria
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20220007191 | ||
| 003 | MAP | ||
| 005 | 20220301091037.0 | ||
| 008 | 220301e20210607esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a5 | ||
| 100 | 1 | $0MAPA20220002202$aKazi-Tani, Nabil | |
| 245 | 1 | 0 | $aIndifference pricing of reinsurance with reinstatements using coherent monetary criteria$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 | |
| 773 | 0 | $wMAP20220007085$tEuropean Actuarial Journal$dCham, Switzerland : Springer Nature Switzerland AG, 2021-2022$g07/06/2021 Volúmen 11 - Número 1 - junio 2021 , p. 161-183 |