Structured reinsurance deals with reference to relative market performance
نویسندگان
چکیده
In this paper we study a specific type of structured reinsurance deals, for which the indemnification scheme is contingent upon performance cedent, instance measured in terms his loss ratio compared to average market. We show that deals may be efficiently used manage risk presence financial distress cost when cover provided cohort insurers with positively correlated experience. addition theoretical results quantitatively illustrate potential improvement numerical example.
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ژورنال
عنوان ژورنال: Insurance Mathematics & Economics
سال: 2021
ISSN: ['0167-6687', '1873-5959']
DOI: https://doi.org/10.1016/j.insmatheco.2021.07.006