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Optimal reinsurance of dependent risks

2022Journal article Open access
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dc.contributor.authorMoura, A. Bugalho de
dc.contributor.authorCenteno, M. de Lourdes
dc.date.accessioned2022-06-01T14:26:34Z
dc.date.available2022-06-01T14:26:34Z
dc.date.issued2022
dc.description.abstractWe analyse the problem of nding the optimal combination of quota-share and stop loss treaties, maximizing the expected utility or the adjustment coecient of the ce- dent, for each of two risks dependent through a copula structure. By risk we mean a line of business or a portfolio of policies. Results are obtained numerically, using the software Mathematica. Sensitivity of the optimal reinsurance strategy to several factors are investigated, including: i) the dependence level, by means of the Kendall's tau and the dependence parameter; ii) the type of dependence, using dierent copulas describing dierent tail behaviour; iii) the reinsurance calculation principles, where expected value, variance and standard deviation principles are considered. Results show that dierent dependence structures, yield signicantly dierent optimal solu- tions. The optimal treaty is also very sensible to the reinsurance premium calculation principle. Namely, for variance related premiums the optimal solution is not the pure stop loss. In general, the maximum adjustment coecient decreases when dependence increases..pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationMoura , A. Bugalho de, and M. de Lourdes Centeno. (2022). “Optimal reinsurance of dependent risks”. REVSTAT-Statistical Journal, Vol. 20 No. 2 - 2022.pt_PT
dc.identifier.urihttp://hdl.handle.net/10400.5/24454
dc.language.isoengpt_PT
dc.publisherINE - REVSTAT-Statistical Journalpt_PT
dc.subjectReinsurancept_PT
dc.subjectDependent Riskspt_PT
dc.subjectCopulaspt_PT
dc.subjectPremium Calculation Principlespt_PT
dc.subjectExpected Utilitypt_PT
dc.subjectAdjustment Coefficientpt_PT
dc.titleOptimal reinsurance of dependent riskspt_PT
dc.typejournal article
dspace.entity.typePublication
rcaap.rightsopenAccesspt_PT
rcaap.typearticlept_PT

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