Indifference pricing of reinsurance with reinstatements using coherent monetary criteria

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<dc:creator>Kazi-Tani, Nabil</dc:creator>
<dc:date>2021-06-07</dc:date>
<dc:description xml:lang="es">Sumario: 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.

</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/178928.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Mercado de reaseguros</dc:subject>
<dc:subject xml:lang="es">Modelos de simulación</dc:subject>
<dc:subject xml:lang="es">Contrato de reaseguro</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Indifference pricing of reinsurance with reinstatements using coherent monetary criteria</dc:title>
<dc:relation xml:lang="es">En: European Actuarial Journal. - Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022. - 07/06/2021 Volúmen 11 - Número 1 - junio 2021 , p. 161-183</dc:relation>
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