| Autor: |
Zine El Abidine Guennoun, Abderrahim El Attar, Mostafa El Hachloufi |
| Rok vydání: |
2018 |
| Předmět: |
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| Zdroj: |
International Journal of Engineering Research in Africa. 35:24-37 |
| ISSN: |
1663-4144 |
| DOI: |
10.4028/www.scientific.net/jera.35.24 |
| Popis: |
In this paper we present an approach to minimize the actuarial risk for the optimal choice of a form of reinsurance, and this is intended to be through a choice of treated parameters that minimize the risk using the Conditional Tail Expectation and the Conditional Tail Variance risk measures. The minimization procedure is based on the Augmented Lagrangian and a genetic algorithm with technical benefit as a constraint. This approach can be seen as a decision support tool that can be used by managers to minimize the actuarial risk in the insurance company. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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