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1 Department of Economics, Ecole Polytechnique 2 CREM - Centre de Recherche en Economie et Management

Abstract : In this paper, we consider optimal reinsurance from an insurer-s point of view. Given a low ruin probability target, insurers want to find the optimal risk transfer mechanism, i.e. either a proportional or a nonproportional reinsurance treaty. Since it is usually admitted that reinsurance should lower ruin probabilities, it should be easy to derive an efficient Monte Carlo algorithm to link ruin probability and reinsurance parameter. Unfortunately, if it is possible for proportional reinsurance, this is no longer the case in nonproportional reinsurance. Some examples where reinsurance might increase ruin probabilities are given at the end, when claim arrival and claim size are not independent.

Mots-clés : Dependence Reinsurance Ruin probability Solvency requirements





Autor: Arthur Charpentier -

Fuente: https://hal.archives-ouvertes.fr/



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