Indifference pricing of reinsurance with reinstatements using coherent monetary criteria

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<title>Indifference pricing of reinsurance with reinstatements using coherent monetary criteria</title>
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<namePart>Kazi-Tani, Nabil</namePart>
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<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.

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<note type="statement of responsibility">Nabil Kazi-Tani</note>
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<topic>Mercado de reaseguros</topic>
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<topic>Modelos de simulación</topic>
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<topic>Contrato de reaseguro</topic>
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<title>European Actuarial Journal</title>
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<publisher>Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022</publisher>
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<identifier type="local">MAP20220007085</identifier>
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<text>07/06/2021 Número 1 - junio 2021 , p. 161-183</text>
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