Réassurance, solvavilité et probabilté

Exposé à Lyon dans le cadre du projet ANR AST& Risk.

In this talk, we consider optimal reinsurance from an insurer’s point of view. Given a (low) ruin probability target, the insurers wants to find the optimal risk transfer mechanism, i.e. either a proportional or a nonproportional reinsurance treaty. In the first case, a simple Monte Carlo algorithm can be designed, but in the nonproportional case, so far, no simple (and efficient) algorithm has been proposed

Cite this blog post
Arthur Charpentier (2008, September 8). Réassurance, solvavilité et probabilté. Freakonometrics. Retrieved May 23, 2024, from https://freakonometrics.hypotheses.org/1342

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