Estimate the Optimal Proportional Reinsurance Method in Property Insurance

نوع المستند : المقالة الأصلية

المؤلفون

1 Economics University of Memphis, USA

2 , Mansoura University

3 , Mansoura University, Egypt

4 Zagazig University, Egypt

المستخلص

Abstract: The study analysis properties of types of proportional reinsurance cover (such as quota share reinsurance, variable quota share reinsurance, surplus reinsurance and quota share with surplus reinsurance). Also, assessed the impact of proportional reinsurance on the Egyptian insurance Market. The study used risk measures, the Value-at-Risk (VaR) and the Conditional-TailExpectation (CTE) of aggregate claims distributions, these risk measures have been used to the determination of optimal reinsurance. This study Estimated optimal reinsurance by maximize the Return on Risk Adjusted Capital of the retained risk (RORAC

الكلمات الرئيسية

الموضوعات الرئيسية


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