Pesquisa de referências

Impact of counterparty risk on the reinsurance market

Recurso electrónico / electronic resource
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20120025844
003  MAP
005  20120606121105.0
008  120531e20120301esp|||p |0|||b|spa d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎5
100  ‎$0‎MAPA20090034792‎$a‎Bernard, Carole
24510‎$a‎Impact of counterparty risk on the reinsurance market‎$c‎Carole Bernard, Mike Ludkovski
520  ‎$a‎We investigate the impact of counterparty risk (from the insurers viewpoint) on contract design in the reinsurance market. We study a multiplicative default risk model with partial recovery and where the probability of the reinsurers default depends on the loss incurred by the insurer. The reinsurer (reinsurance seller) is assumed to be risk-neutral, while the insurer (reinsurance buyer) is risk-averse and uses either expected utility or a conditional tail expectation risk criterion. We show that generally the reinsurance buyer wishes to overinsure above a deductible level, and that many of the standard comparative statics cease to hold. We also derive the properties of stop-loss insurance in our model and consider the possibility of divergent beliefs about the default probability. Classical results are recovered when default risk is loss-independent or there is zero recovery rate. Results are illustrated with numerical examples.
650 1‎$0‎MAPA20080552367‎$a‎Reaseguro
650 1‎$0‎MAPA20080602529‎$a‎Mercado de reaseguros
650 1‎$0‎MAPA20080605957‎$a‎Empresas de reaseguros
650 1‎$0‎MAPA20080545260‎$a‎Riesgos
650 1‎$0‎MAPA20080582401‎$a‎Riesgo crediticio
650 1‎$0‎MAPA20080591182‎$a‎Gerencia de riesgos
700  ‎$0‎MAPA20090011281‎$a‎Ludkovski, Michael
7730 ‎$w‎MAP20077000239‎$t‎North American actuarial journal‎$d‎Schaumburg : Society of Actuaries, 1997-‎$x‎1092-0277‎$g‎01/03/2012 Tomo 16 Número 1 - 2012 , p. 87-111