On combining quota-share and excess of loss

Detalhes bibliográficos
Autor(a) principal: Centeno, M. de Lourdes
Data de Publicação: 1985
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/27775
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 On combining quota-share and excess of lossReinsuranceQuota-shareExcess of LossSkewnessCoefficient of VariationConstrained OptimizationThis 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 Lourdes2023-05-15T10:48:17Z19851985-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27775engCenteno, M. Lourdes. (1985) ."On combining quota-share and excess of loss" . ASTIN Bulletin: The Journal of the IAA, Vol. 15. No.1: pp. 49-63. (Search PDF in 2023).10.2143/AST.15.1.2015034info: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:10400.5/27775Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:54:14.927906Repositório 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 On combining quota-share and excess of loss
title On combining quota-share and excess of loss
spellingShingle On combining quota-share and excess of loss
Centeno, M. de Lourdes
Reinsurance
Quota-share
Excess of Loss
Skewness
Coefficient of Variation
Constrained Optimization
title_short On combining quota-share and excess of loss
title_full On combining quota-share and excess of loss
title_fullStr On combining quota-share and excess of loss
title_full_unstemmed On combining quota-share and excess of loss
title_sort On combining quota-share and excess of loss
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
Quota-share
Excess of Loss
Skewness
Coefficient of Variation
Constrained Optimization
topic Reinsurance
Quota-share
Excess of Loss
Skewness
Coefficient of Variation
Constrained Optimization
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 1985
dc.date.none.fl_str_mv 1985
1985-01-01T00:00:00Z
2023-05-15T10:48:17Z
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/10400.5/27775
url http://hdl.handle.net/10400.5/27775
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Centeno, M. Lourdes. (1985) ."On combining quota-share and excess of loss" . ASTIN Bulletin: The Journal of the IAA, Vol. 15. No.1: pp. 49-63. (Search PDF in 2023).
10.2143/AST.15.1.2015034
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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