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La probabilidad de supervivencia en un modelo con reaseguro proporcional de umbral

Listed author(s):
  • M. Merce Claramunt
  • Maite Marmol
  • Anna Castaner

    (Universitat de Barcelona)

In this paper we present a new reinsurance strategy, called threshold strategy, that has a different behaviour depending on the reserves. Whenever the reserves are less than a certain level, the portfolio manager decides to apply a proportional reinsurance. If the reserves are greater than b, it is considered that the level of solvency is enough, and then the decision is not ceding any risk. The study of the effect of the introduction of the threshold reinsurance on the survival probability, and the comparison with the proportional reinsurance and the option of not reinsuring, allows us to find equivalent strategies of reinsurance from the solvency point of view.

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Paper provided by Universitat de Barcelona. Espai de Recerca en Economia in its series Working Papers in Economics with number 200.

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Length: 17 pages
Date of creation: 2008
Handle: RePEc:bar:bedcje:2008200
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