Reinsurance-a new approach

• Autorzy: Adam Paszkiewicz , Jakub Olejnik
• Języki publikacji: EN

Abstrakty

EN

We describe a new model of multiple reinsurance. The main idea is that the reinsurance premium is paid conditionally. It is motivated by some analysis of the ultimate price of the reinsurance contract. For simplicity we assume that the underlying risk pricing functional is the L₂-norm. An unexpected relation to the general theory of sample regularity of stochastic processes is given.

Kategorie tematyczne

• 60G17: Sample path properties
• 91B30: Risk theory, insurance

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Banach Center Publications
• Rocznik: 2010
• Tom: 90
• Numer: 1
• Strony: 139-151

Daty

wydano

2010

Twórcy

autor

Adam Paszkiewicz

• Faculty of Mathematics and Computer Science, University of Łódź, Banacha 22, 90-238 Łódź, Poland

autor

Jakub Olejnik

• Faculty of Mathematics and Computer Science, University of Łódź, Banacha 22, 90-238 Łódź, Poland

Identyfikatory

DOI

10.4064/bc90-0-9