A VaR-based optimal reinsurance model: the perspective of both the insurer and the reinsurer

DSpace/Manakin Repository

Show simple item record

dc.contributor.advisor Ferretti, Paola it_IT
dc.contributor.author Cogo, Federica Maria <1991> it_IT
dc.date.accessioned 2017-10-09 it_IT
dc.date.accessioned 2018-04-17T13:36:37Z
dc.date.available 2018-04-17T13:36:37Z
dc.date.issued 2017-10-25 it_IT
dc.identifier.uri http://hdl.handle.net/10579/11746
dc.description.abstract In recent decades, reinsurance has often been addressed in economic research. The main objective was to determine the optimal form and level of reinsurance, under either the perspective of the cedant or of the reinsurer. A major role was played by Cai and Tan (2007), who determined the level of retention, in a stop-loss reinsurance, that minimizes the Value at Risk (VaR) of the total exposure of the cedant: in this sense, it is optimal. The aim of this thesis is to further investigate the aforementioned results. After an introductive analysis of the VaR-based optimal reinsurance model, the same is evaluated under the perspective of the reinsurer: the purpose is to determine whether and how the optimal solution for the cedant diverges from the one of the reinsurer. In conclusion, a possible unique solution is explored on the basis of the works by Cai et al (2015) and Lo (2017). it_IT
dc.language.iso en it_IT
dc.publisher Università Ca' Foscari Venezia it_IT
dc.rights © Federica Maria Cogo, 2017 it_IT
dc.title A VaR-based optimal reinsurance model: the perspective of both the insurer and the reinsurer it_IT
dc.title.alternative A VaR-based optimal reinsurance model: the perspective of both the insurer and the reinsurer it_IT
dc.type Bachelor Thesis it_IT
dc.degree.name Economia - economics it_IT
dc.degree.level Laurea magistrale it_IT
dc.degree.grantor Dipartimento di Economia it_IT
dc.description.academicyear 2016/2017, sessione autunnale it_IT
dc.rights.accessrights openAccess it_IT
dc.thesis.matricno 859273 it_IT
dc.subject.miur SECS-S/06 METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE it_IT
dc.description.note it_IT
dc.degree.discipline it_IT
dc.contributor.co-advisor it_IT
dc.date.embargoend it_IT
dc.provenance.upload Federica Maria Cogo (859273@stud.unive.it), 2017-10-09 it_IT
dc.provenance.plagiarycheck Paola Ferretti (ferretti@unive.it), 2017-10-23 it_IT


Files in this item

This item appears in the following Collection(s)

Show simple item record