Centro de Documentación de Fundación MAPFRE - Reinsurance arragements maximizing insurer's survival probability

MAP20071505914

Reinsurance arragements maximizing insurer's survival probability / Leslaw Gajek, Dariusz Zagrodny

The article concerns the problem of purchasing a reinsurance policy that maximizes the survival probability of the insurer. Explicit forms of the contracts optimal for the insurer are derived which are stop loss depending on the initial surplus, a quota to be spend on reinsurance and pricing rules of both the insurer and the reinsurer

En: The Journal of risk and insurance. - Orlando. - Volume 71, number 3, September 2004 ; p. 421-435

1. Reaseguro . 2. Matemática del seguro . 3. Cálculo de probabilidades . I. Zagrodny, Dariusz . II. Título. III. Título: The Journal of risk and insurance.