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DC Field | Value | Language |
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dc.contributor.author | Claramunt Bielsa, M. Mercè | - |
dc.contributor.author | Mármol, Maite | - |
dc.contributor.author | Castañer, Anna | - |
dc.date.accessioned | 2013-05-28T08:54:17Z | - |
dc.date.available | 2013-05-28T08:54:17Z | - |
dc.date.issued | 2008 | - |
dc.identifier.issn | 1136-8365 | - |
dc.identifier.uri | https://hdl.handle.net/2445/43801 | - |
dc.description.abstract | [spa] En este artículo presentamos una nueva estrategia de reaseguro, a la que denominamos estrategia de reaseguro umbral, que actúa de forma diferente en función del nivel de las reservas. Así, para unos niveles de las reservas inferiores a un determinado nivel, el gestor decide aplicar un reaseguro proporcional, y para niveles superiores, al considerar que se ha alcanzado cierta solvencia en la cartera, opta por no ceder ningún porcentaje del riesgo. El análisis del efecto de la introducción del reaseguro umbral sobre la probabilidad de supervivencia, y su comparación con el reaseguro proporcional y la opción de no reasegurar, nos permite hallar estrategias de reaseguro equivalentes desde el punto de vista de la solvencia. Palabras clave: teoría del riesgo, reaseguro de umbral, reaseguro proporcional, probabilidad de supervivencia. | - |
dc.description.abstract | [eng] In this paper we present a new reinsurance strategy, called threshold strategy, that has a different behaviour depending on the reserves. Whenever the reserves are less than a certain level, the portfolio manager decides to apply a proportional reinsurance. If the reserves are greater than b, it is considered that the level of solvency is enough, and then the decision is not ceding any risk. The study of the effect of the introduction of the threshold reinsurance on the survival probability, and the comparison with the proportional reinsurance and the option of not reinsuring, allows us to find equivalent strategies of reinsurance from the solvency point of view. | - |
dc.format.extent | 17 p. | - |
dc.format.mimetype | application/pdf | - |
dc.language.iso | spa | - |
dc.publisher | Universitat de Barcelona. Facultat d'Economia i Empresa | - |
dc.relation.isformatof | Reproducció del document publicat a: http://www.ere.ub.es/dtreball/E08200.rdf/view | - |
dc.relation.ispartof | Documents de treball (Facultat d'Economia i Empresa. Espai de Recerca en Economia), 2008, E08/200 | - |
dc.relation.ispartofseries | [WP E-Eco08/200] | - |
dc.rights | cc-by-nc-nd, (c) Claramunt Bielsa et al., 2008 | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/ | - |
dc.source | UB Economics – Working Papers [ERE] | - |
dc.subject.classification | Reassegurances | - |
dc.subject.classification | Gestió del risc | - |
dc.subject.classification | Avaluació del risc | - |
dc.subject.classification | Assegurances de vida | - |
dc.subject.classification | Supervivència | - |
dc.subject.other | Reinsurance | - |
dc.subject.other | Risk management | - |
dc.subject.other | Risk assessment | - |
dc.subject.other | Life insurance | - |
dc.subject.other | Survival | - |
dc.title | La probabilidad de supervivencia en un modelo con reaseguro proporcional de umbral | - |
dc.type | info:eu-repo/semantics/workingPaper | - |
dc.date.updated | 2013-05-28T08:54:17Z | - |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
Appears in Collections: | UB Economics – Working Papers [ERE] Documents de treball (Matemàtica Econòmica, Financera i Actuarial) |
Files in This Item:
File | Description | Size | Format | |
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E08-200_Claramunt.pdf | 224.57 kB | Adobe PDF | View/Open |
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