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
OpenEdition suggests that you cite this post as follows:
Arthur Charpentier (September 8, 2008). Réassurance, solvavilité et probabilté. Freakonometrics. Retrieved February 19, 2025 from https://doi.org/10.58079/ou93