A Reinsurance Approach in a Two-Dimensional Model with Dependent Risks - Modern Economy

ME > Vol.10 No.7, July 2019

A Reinsurance Approach in a Two-Dimensional Model with Dependent Risks ()

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Download as PDF (Size: 402KB) PP. 1790-1801

DOI: 10.4236/me.2019.107115 613 Downloads 1,230 Views

Author(s)

Cristina Gosio, Ester C. Lari, Marina Ravera

Affiliation(s)

Department of Economics and Business Studies, University of Genoa, Genoa, Italy.

ABSTRACT

We consider an insurer having two classes of insurance risks dependent through the number of claims of each risk in a given period of time. We assume that the insurer chooses a reinsurance strategy related to the first class of risk by means a proportional reinsurance contract; we also assume that the reinsurance strategy related to the second class of risk is of Excess of Loss reinsurance type. Within this paper, we study the possible optimal couples of proportional retention level and Excess of Loss retention limit.

KEYWORDS

Reinsurance, Proportional Reinsurance, Excess of Loss Reinsurance, Dependent Risks, Two Dimensional Risk Process

Share and Cite:

Gosio, C. , Lari, E. and Ravera, M. (2019) A Reinsurance Approach in a Two-Dimensional Model with Dependent Risks. Modern Economy, 10, 1790-1801. doi: 10.4236/me.2019.107115.

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