| Autor: |
Corina Constantinescu, Alexandra Dias, Bo Li, David Šiška, Simon Wang |
| Jazyk: |
angličtina |
| Rok vydání: |
2022 |
| Předmět: |
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| Zdroj: |
Risks, Vol 10, Iss 10, p 193 (2022) |
| Druh dokumentu: |
article |
| ISSN: |
2227-9091 |
| DOI: |
10.3390/risks10100193 |
| Popis: |
Stop-loss reinsurance is a risk management tool that allows an insurance company to transfer part of their risk to a reinsurance company. Ruin probabilities allow us to measure the effect of stop-loss reinsurance on the solvency of the primary insurer. They further permit the calculation of the economic capital, or the required initial capital to hold, corresponding to the 99.5% value-at-risk of its surplus. Specifically, we show that under a stop-loss contract, the ruin probability for the primary insurer, for both a finite- and infinite-time horizon, can be obtained from the finite-time ruin probability when no reinsurance is bought. We develop a finite-difference method for solving the (partial integro-differential) equation satisfied by the finite-time ruin probability with no reinsurance, leading to numerical approximations of the ruin probabilities under a stop-loss reinsurance contract. Using the method developed here, we discuss the interplay between ruin probability, reinsurance retention level and initial capital. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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