Dependent risks and excess of loss reinsurance
Autor(a) principal: | |
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Data de Publicação: | 2005 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/27764 |
Resumo: | In this paper we study, from the insurance point of view, the optimal excess of loss retention limits for two dependent risks. We consider two optimization criteria, which are quite connected. The expected utility of wealth with respect to the exponential utility function and the adjustment coefficient of the retained aggregate claims amount. We consider that the number of claims is generated by a bivariate Poisson distribution. The premium calculation principle used for the excess of loss treaties is the expected value principle. Although the systems of equations, that give the optimal solution for both problems, look quite similar, we will see that the optimal solution is heavily dependent on the criterion chosen. |
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Dependent risks and excess of loss reinsuranceReinsuranceExcess of LossExpected Utility of WealthExponential Utility FunctionAdjustment CoefficientBivariate PoissonDependent RisksIn this paper we study, from the insurance point of view, the optimal excess of loss retention limits for two dependent risks. We consider two optimization criteria, which are quite connected. The expected utility of wealth with respect to the exponential utility function and the adjustment coefficient of the retained aggregate claims amount. We consider that the number of claims is generated by a bivariate Poisson distribution. The premium calculation principle used for the excess of loss treaties is the expected value principle. Although the systems of equations, that give the optimal solution for both problems, look quite similar, we will see that the optimal solution is heavily dependent on the criterion chosen.ElsevierRepositório da Universidade de LisboaCenteno, M. de Lourdes2023-05-12T19:18:54Z20052005-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27764engCenteno, M. de Lourdes. (2005). “Dependent risks and excess of loss reinsurance”. Insurance: Mathematics and Economics, Vol. 37, Issue 2: pp. 229 – 238 (Search PDF in 2023)0167-668710.1016/j.insmatheco.2004.12.001info: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:RCAAP2023-05-14T01:30:53Zoai:www.repository.utl.pt:10400.5/27764Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:52:02.506632Repositório 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 |
Dependent risks and excess of loss reinsurance |
title |
Dependent risks and excess of loss reinsurance |
spellingShingle |
Dependent risks and excess of loss reinsurance Centeno, M. de Lourdes Reinsurance Excess of Loss Expected Utility of Wealth Exponential Utility Function Adjustment Coefficient Bivariate Poisson Dependent Risks |
title_short |
Dependent risks and excess of loss reinsurance |
title_full |
Dependent risks and excess of loss reinsurance |
title_fullStr |
Dependent risks and excess of loss reinsurance |
title_full_unstemmed |
Dependent risks and excess of loss reinsurance |
title_sort |
Dependent risks and excess of loss reinsurance |
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 |
Reinsurance Excess of Loss Expected Utility of Wealth Exponential Utility Function Adjustment Coefficient Bivariate Poisson Dependent Risks |
topic |
Reinsurance Excess of Loss Expected Utility of Wealth Exponential Utility Function Adjustment Coefficient Bivariate Poisson Dependent Risks |
description |
In this paper we study, from the insurance point of view, the optimal excess of loss retention limits for two dependent risks. We consider two optimization criteria, which are quite connected. The expected utility of wealth with respect to the exponential utility function and the adjustment coefficient of the retained aggregate claims amount. We consider that the number of claims is generated by a bivariate Poisson distribution. The premium calculation principle used for the excess of loss treaties is the expected value principle. Although the systems of equations, that give the optimal solution for both problems, look quite similar, we will see that the optimal solution is heavily dependent on the criterion chosen. |
publishDate |
2005 |
dc.date.none.fl_str_mv |
2005 2005-01-01T00:00:00Z 2023-05-12T19:18:54Z |
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/10400.5/27764 |
url |
http://hdl.handle.net/10400.5/27764 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Centeno, M. de Lourdes. (2005). “Dependent risks and excess of loss reinsurance”. Insurance: Mathematics and Economics, Vol. 37, Issue 2: pp. 229 – 238 (Search PDF in 2023) 0167-6687 10.1016/j.insmatheco.2004.12.001 |
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 |
Elsevier |
publisher.none.fl_str_mv |
Elsevier |
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 |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799131597092421632 |