Relative Reinsurance Retention Levels
نویسندگان
چکیده
منابع مشابه
Optimal retention for a stop-loss reinsurance with incomplete information
This paper considers the determination of optimal retention in a stop-loss reinsurance. Assume that we only have incomplete information on a risk X for an insurer, we use an upper bound for the value at risk (VaR) of the total loss of an insurer after stop-loss reinsurance arrangement as a risk measure. The adopted method is a distribution-free approximation which allows to construct the extrem...
متن کاملOptimal Retention for a Stop-Loss Reinsurance under the VaR and CTE Risk Measures
We propose practical solutions for the determination of optimal retentions in a stop-loss reinsurance. We develop two new optimization criteria for deriving the optimal retentions by, respectively, minimizing the value-at-risk (VaR) and the conditional tail expectation (CTE) of the total risks of an insurer. We establish necessary and sufficient conditions for the existence of the optimal reten...
متن کاملA Statistical Information System for the Decision-Making of Reinsurance Retention
The Korean insurance industry is pursuing liberalization, breaking away from the former protective measures against foreign competition. Especially in the reinsurance market, which has been more international in nature, gradual liberalization has already been progressed since 1984. The restriction on the level of retention limit per risk and the requirement that Korean direct insurers must cede...
متن کاملMore answers on reinsurance.
ance as a strategy to maintain or increase health insurance coverage. SCI’s October 2004 Issue Brief, The Role of Reinsurance in State Efforts to Expand Coverage, concluded that reinsurance programs must be built carefully in order to achieve this goal. This In Focus is designed as a supplemental technical guide for state policymakers who are interested in using reinsurance to expand or maintai...
متن کاملStop Loss Reinsurance
Stop loss is a nonproportional type of reinsurance and works similarly to excess-of-loss reinsurance. While excess-of-loss is related to single loss amounts, either per risk or per event, stop-loss covers are related to the total amount of claims X in a year – net of underlying excess-of-loss contracts and/or proportional reinsurance. The reinsurer pays the part of X that exceeds a certain amou...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 1997
ISSN: 0515-0361,1783-1350
DOI: 10.2143/ast.27.2.542048