Publicação
Reinsurance of multiple risks with generic dependence structures
| dc.contributor.author | Guerra, M. | |
| dc.contributor.author | Moura, A.B. de | |
| dc.date.accessioned | 2020-12-11T18:25:04Z | |
| dc.date.available | 2020-12-11T18:25:04Z | |
| dc.date.issued | 2020-12 | |
| dc.description.abstract | We consider the optimal reinsurance problem from the point of view of a direct insurer owning several dependent risks, assuming a maximal expected utility criterion and independent negotiation of reinsurance for each risk. Without any particular hypothesis on the dependency structure, we show that optimal treaties exist in a class of independent randomized contracts. We derive optimality conditions and show that under mild assumptions the optimal contracts are of classical (non-randomized) type. A specific form of the optimality conditions applies in that case. We illustrate the results with some numerical examples. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | Guerra, M. e A.B. de Moura (2020). "Reinsurance of multiple risks with generic dependence structures". Instituto Superior de Economia e Gestão – REM Working paper nº 0149 – 2020 | pt_PT |
| dc.identifier.issn | 2184-108X | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/20637 | |
| dc.language.iso | eng | pt_PT |
| dc.peerreviewed | yes | pt_PT |
| dc.publisher | ISEG - REM - Research in Economics and Mathematics | pt_PT |
| dc.relation.ispartofseries | REM Working paper;nº 0149 – 2020 | |
| dc.relation.publisherversion | https://rem.rc.iseg.ulisboa.pt/wps/pdf/REM_WP_0149_2020.pdf | pt_PT |
| dc.subject | Reinsurance | pt_PT |
| dc.subject | Dependent Risks | pt_PT |
| dc.subject | Premium Calculation Principles | pt_PT |
| dc.subject | Expected Utility | pt_PT |
| dc.subject | Randomized reinsurance treaties | pt_PT |
| dc.title | Reinsurance of multiple risks with generic dependence structures | pt_PT |
| dc.type | working paper | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | workingPaper | pt_PT |