Reinsurance of multiple risks with generic dependence structures

Detalhes bibliográficos
Autor(a) principal: Guerra, M.
Data de Publicação: 2020
Outros Autores: Moura, A.B. de
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/20637
Resumo: 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.
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spelling Reinsurance of multiple risks with generic dependence structuresReinsuranceDependent RisksPremium Calculation PrinciplesExpected UtilityRandomized reinsurance treatiesWe 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.ISEG - REM - Research in Economics and MathematicsRepositório da Universidade de LisboaGuerra, M.Moura, A.B. de2020-12-11T18:25:04Z2020-122020-12-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/20637engGuerra, 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 – 20202184-108Xinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:50:04Zoai:www.repository.utl.pt:10400.5/20637Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:05:19.791101Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Reinsurance of multiple risks with generic dependence structures
title Reinsurance of multiple risks with generic dependence structures
spellingShingle Reinsurance of multiple risks with generic dependence structures
Guerra, M.
Reinsurance
Dependent Risks
Premium Calculation Principles
Expected Utility
Randomized reinsurance treaties
title_short Reinsurance of multiple risks with generic dependence structures
title_full Reinsurance of multiple risks with generic dependence structures
title_fullStr Reinsurance of multiple risks with generic dependence structures
title_full_unstemmed Reinsurance of multiple risks with generic dependence structures
title_sort Reinsurance of multiple risks with generic dependence structures
author Guerra, M.
author_facet Guerra, M.
Moura, A.B. de
author_role author
author2 Moura, A.B. de
author2_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Guerra, M.
Moura, A.B. de
dc.subject.por.fl_str_mv Reinsurance
Dependent Risks
Premium Calculation Principles
Expected Utility
Randomized reinsurance treaties
topic Reinsurance
Dependent Risks
Premium Calculation Principles
Expected Utility
Randomized reinsurance treaties
description 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.
publishDate 2020
dc.date.none.fl_str_mv 2020-12-11T18:25:04Z
2020-12
2020-12-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/20637
url http://hdl.handle.net/10400.5/20637
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 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
2184-108X
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv ISEG - REM - Research in Economics and Mathematics
publisher.none.fl_str_mv ISEG - REM - Research in Economics and Mathematics
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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