The effect of the retention limit on the risk reserve

Detalhes bibliográficos
Autor(a) principal: Centeno, M. de Lourdes
Data de Publicação: 1995
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/27773
Resumo: This paper is devoted to the study of the initial reserve, as a function of the retention limit, needed to assure that the probability of ruin, at the end of a certain period of time, is not higher than an agreed value, for an excess of loss treaty. To assess the probability of ruin, the normal and the normal power approximation are used. It is shown that the initial reserve is not in general an increasing function of the retention, having a minimum under fair assumptions.
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spelling The effect of the retention limit on the risk reserveRisk ReserveExcess of LossNormal Power ApproximationNormal ApproximationThis paper is devoted to the study of the initial reserve, as a function of the retention limit, needed to assure that the probability of ruin, at the end of a certain period of time, is not higher than an agreed value, for an excess of loss treaty. To assess the probability of ruin, the normal and the normal power approximation are used. It is shown that the initial reserve is not in general an increasing function of the retention, having a minimum under fair assumptions.Cambridge University PressRepositório da Universidade de LisboaCenteno, M. de Lourdes2023-05-15T08:21:18Z19951995-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27773engCenteno, M. de Lourdes. (1995). “The effect of the retention limit on the risk reserve". ASTIN Bulletin, The Journal of the IAA, Vol. 25, No 1: pp: 67-74.. (Search PDF in 2023).10.2143/AST.25.1.563254info: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:RCAAP2023-05-21T01:30:39Zoai:www.repository.utl.pt:10400.5/27773Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:54:14.879848Repositório 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 The effect of the retention limit on the risk reserve
title The effect of the retention limit on the risk reserve
spellingShingle The effect of the retention limit on the risk reserve
Centeno, M. de Lourdes
Risk Reserve
Excess of Loss
Normal Power Approximation
Normal Approximation
title_short The effect of the retention limit on the risk reserve
title_full The effect of the retention limit on the risk reserve
title_fullStr The effect of the retention limit on the risk reserve
title_full_unstemmed The effect of the retention limit on the risk reserve
title_sort The effect of the retention limit on the risk reserve
author Centeno, M. de Lourdes
author_facet Centeno, M. de Lourdes
author_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Centeno, M. de Lourdes
dc.subject.por.fl_str_mv Risk Reserve
Excess of Loss
Normal Power Approximation
Normal Approximation
topic Risk Reserve
Excess of Loss
Normal Power Approximation
Normal Approximation
description This paper is devoted to the study of the initial reserve, as a function of the retention limit, needed to assure that the probability of ruin, at the end of a certain period of time, is not higher than an agreed value, for an excess of loss treaty. To assess the probability of ruin, the normal and the normal power approximation are used. It is shown that the initial reserve is not in general an increasing function of the retention, having a minimum under fair assumptions.
publishDate 1995
dc.date.none.fl_str_mv 1995
1995-01-01T00:00:00Z
2023-05-15T08:21:18Z
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/10400.5/27773
url http://hdl.handle.net/10400.5/27773
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Centeno, M. de Lourdes. (1995). “The effect of the retention limit on the risk reserve". ASTIN Bulletin, The Journal of the IAA, Vol. 25, No 1: pp: 67-74.. (Search PDF in 2023).
10.2143/AST.25.1.563254
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 Cambridge University Press
publisher.none.fl_str_mv Cambridge University Press
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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