Indifference pricing of reinsurance with reinstatements using coherent monetary criteria

<?xml version="1.0" encoding="UTF-8"?><modsCollection xmlns="http://www.loc.gov/mods/v3" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-8.xsd">
<mods version="3.8">
<titleInfo>
<title>Indifference pricing of reinsurance with reinstatements using coherent monetary criteria</title>
</titleInfo>
<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20220002202">
<namePart>Kazi-Tani, Nabil</namePart>
<nameIdentifier>MAPA20220002202</nameIdentifier>
</name>
<typeOfResource>text</typeOfResource>
<genre authority="marcgt">periodical</genre>
<originInfo>
<place>
<placeTerm type="code" authority="marccountry">esp</placeTerm>
</place>
<dateIssued encoding="marc">2021</dateIssued>
<issuance>serial</issuance>
</originInfo>
<language>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</language>
<physicalDescription>
<form authority="marcform">print</form>
</physicalDescription>
<abstract displayLabel="Summary">We 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.

</abstract>
<note type="statement of responsibility">Nabil Kazi-Tani</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080602529">
<topic>Mercado de reaseguros</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080602642">
<topic>Modelos de simulación</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080600501">
<topic>Contrato de reaseguro</topic>
</subject>
<classification authority="">5</classification>
<relatedItem type="host">
<titleInfo>
<title>European Actuarial Journal</title>
</titleInfo>
<originInfo>
<publisher>Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022</publisher>
</originInfo>
<identifier type="local">MAP20220007085</identifier>
<part>
<text>07/06/2021 Volúmen 11 - Número 1 - junio 2021 , p. 161-183</text>
</part>
</relatedItem>
<recordInfo>
<recordContentSource authority="marcorg">MAP</recordContentSource>
<recordCreationDate encoding="marc">220301</recordCreationDate>
<recordChangeDate encoding="iso8601">20220301091037.0</recordChangeDate>
<recordIdentifier source="MAP">MAP20220007191</recordIdentifier>
<languageOfCataloging>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</languageOfCataloging>
</recordInfo>
</mods>
</modsCollection>