Excess of loss reinsurance and Gerber’s inequality in the Sparre Anderson model

Detalhes bibliográficos
Autor(a) principal: Centeno, M. de Lourdes
Data de Publicação: 2002
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/27766
Resumo: Assuming that the reinsurance premium is calculated according to the expected value principle we study an upper bound for the probability of ruin in finite horizon, as function of the excess of loss retention limit. The upper bound used is an extension proved by Grandell [Aspects of Risk Theory, Springer, New York, 1991] of Gerber’s bound, see Gerber [Martingales in risk theory, Mitteilungen der Vereinigung Schweizerischer Versicherungsmathematiker, 1973, pp. 205–216], for the Sparre Anderson model [On the collective theory of risk in the case of contagious between the claims, in: Proceedings of the Transactions on XV International Congress of Actuaries, New York, 1957].
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spelling Excess of loss reinsurance and Gerber’s inequality in the Sparre Anderson modelSparre Anderson ModelReinsuranceExcess of LossAdjustment CoefficientAssuming that the reinsurance premium is calculated according to the expected value principle we study an upper bound for the probability of ruin in finite horizon, as function of the excess of loss retention limit. The upper bound used is an extension proved by Grandell [Aspects of Risk Theory, Springer, New York, 1991] of Gerber’s bound, see Gerber [Martingales in risk theory, Mitteilungen der Vereinigung Schweizerischer Versicherungsmathematiker, 1973, pp. 205–216], for the Sparre Anderson model [On the collective theory of risk in the case of contagious between the claims, in: Proceedings of the Transactions on XV International Congress of Actuaries, New York, 1957].ElsevierRepositório da Universidade de LisboaCenteno, M. de Lourdes2023-05-12T19:56:05Z20022002-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/27766engCenteno, M. de Lourdes.(2002). “Excess of loss reinsurance and Gerber’s inequality in the Sparre Anderson model”. Insurance: Mathematics and Economics, Volume 31, Issue 3: pp. 415-427. (Search PDF in 2023).0167-668710.1016/S0167-6687(02)00187-7info: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:10400.5/27766Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:52:02.555148Repositório 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 Excess of loss reinsurance and Gerber’s inequality in the Sparre Anderson model
title Excess of loss reinsurance and Gerber’s inequality in the Sparre Anderson model
spellingShingle Excess of loss reinsurance and Gerber’s inequality in the Sparre Anderson model
Centeno, M. de Lourdes
Sparre Anderson Model
Reinsurance
Excess of Loss
Adjustment Coefficient
title_short Excess of loss reinsurance and Gerber’s inequality in the Sparre Anderson model
title_full Excess of loss reinsurance and Gerber’s inequality in the Sparre Anderson model
title_fullStr Excess of loss reinsurance and Gerber’s inequality in the Sparre Anderson model
title_full_unstemmed Excess of loss reinsurance and Gerber’s inequality in the Sparre Anderson model
title_sort Excess of loss reinsurance and Gerber’s inequality in the Sparre Anderson model
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 Sparre Anderson Model
Reinsurance
Excess of Loss
Adjustment Coefficient
topic Sparre Anderson Model
Reinsurance
Excess of Loss
Adjustment Coefficient
description Assuming that the reinsurance premium is calculated according to the expected value principle we study an upper bound for the probability of ruin in finite horizon, as function of the excess of loss retention limit. The upper bound used is an extension proved by Grandell [Aspects of Risk Theory, Springer, New York, 1991] of Gerber’s bound, see Gerber [Martingales in risk theory, Mitteilungen der Vereinigung Schweizerischer Versicherungsmathematiker, 1973, pp. 205–216], for the Sparre Anderson model [On the collective theory of risk in the case of contagious between the claims, in: Proceedings of the Transactions on XV International Congress of Actuaries, New York, 1957].
publishDate 2002
dc.date.none.fl_str_mv 2002
2002-01-01T00:00:00Z
2023-05-12T19:56:05Z
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/10400.5/27766
url http://hdl.handle.net/10400.5/27766
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Centeno, M. de Lourdes.(2002). “Excess of loss reinsurance and Gerber’s inequality in the Sparre Anderson model”. Insurance: Mathematics and Economics, Volume 31, Issue 3: pp. 415-427. (Search PDF in 2023).
0167-6687
10.1016/S0167-6687(02)00187-7
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
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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