IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-01742638.html
   My bibliography  Save this paper

Indifference Pricing of Reinsurance with Reinstatements Using Coherent Monetary Criteria

Author

Listed:
  • Nabil Kazi-Tani

    (LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon)

Abstract

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.

Suggested Citation

  • Nabil Kazi-Tani, 2021. "Indifference Pricing of Reinsurance with Reinstatements Using Coherent Monetary Criteria," Post-Print hal-01742638, HAL.
    • Handle: RePEc:hal:journl:hal-01742638
    DOI: 10.1007/s13385-020-00257-8
    Note: View the original document on HAL open archive server: https://hal.science/hal-01742638v2
    as

    Download full text from publisher

    File URL: https://hal.science/hal-01742638v2/document
    Download Restriction: no
    File URL: https://libkey.io/10.1007/s13385-020-00257-8?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-01742638. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.