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Das Newsvendor Modell mit nicht-linearer Kostenfunktion und seine Anwendung bei nicht-proportionalen Rückversicherungsverträgen

Listed author(s):
  • Katja Poser


    (Friedrich-Schiller-Universität Jena, Wirtschaftswissenschaftliche Fakultät, Lehrstuhl für Wirtschafts- und Sozialstatistik)

  • Maik Wagner


    (Friedrich-Schiller-Universität Jena, Wirtschaftswissenschaftliche Fakultät, Lehrstuhl für Wirtschafts- und Sozialstatistik)

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    Rückversicherung kann als Überwälzung von versicherungstechnischem Risiko vom Erst- auf den Rückversicherer definiert werden, kurz gesagt: "Rückversicherung ist Versicherung von Versicherungen". Einen entscheidenden Aspekt bei der Ausgestaltung von Rückversicherungsverträgen stellt die Bestimmung von Selbstbehalten und Deckungsgrenzen dar. Der vorliegende Beitrag gibt zunächst einen Überblick über die Ziele und Formen der Rückversicherung. Anschließend wird das Newsvendor Modell, ein Modell zur Bestellmengenoptimierung, kurz vorgestellt. Ziel dieses Beitrages ist es, diesen Ansatz aus dem Supply Chain Management zur Modellierung von Deckungsgrenzen sowie Selbstbehalten von nichtproportionalen Rückversicherungsverträgen anzuwenden.

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    Paper provided by Friedrich-Schiller-University Jena, School of Economics and Business Administration in its series Jena Research Papers in Business and Economics - Working and Discussion Papers with number 15/2007.

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    Date of creation: 23 Aug 2007
    Handle: RePEc:jen:jenjbe:2007-15
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    1. Werner Jammernegg & Peter Kischka, 2007. "Risk-averse and risk-taking newsvendors: a conditional expected value approach," Review of Managerial Science, Springer, vol. 1(1), pages 93-110, April.
    2. Werner Jammernegg & Peter Kischka, 2005. "A Decision Rule Based on the Conditional Value at Risk," Jenaer Schriften zur Wirtschaftswissenschaft 09/2005, Friedrich-Schiller-Universität Jena, Wirtschaftswissenschaftliche Fakultät.
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