In the framework of collective risk theory models, the dynamic solvency insurance contract is studied. Whenever the reserve falls below a ruin level, such a contract provides a payment in the amount of the deficit. The paper focuses on the net single premium of solvency insurance by considering two different definitions of ruin, referring to models modified by the inclusion of an upper reflecting barrier. The main results are integral and integro-differential equations for the net single premium. An exact solution is given in the special case with exponential claim sizes and zero interest force.

On Dynamic Solvency Insurance Contract / Gosio C.; Lari E.C.; Ravera M.. - In: THE ICFAI JOURNAL OF RISK & INSURANCE. - ISSN 0972-933X. - STAMPA. - IX(2012), pp. 62-75.

On Dynamic Solvency Insurance Contract

GOSIO, CRISTINA;LARI, ESTER CESARINA;RAVERA, MARINA
2012

Abstract

In the framework of collective risk theory models, the dynamic solvency insurance contract is studied. Whenever the reserve falls below a ruin level, such a contract provides a payment in the amount of the deficit. The paper focuses on the net single premium of solvency insurance by considering two different definitions of ruin, referring to models modified by the inclusion of an upper reflecting barrier. The main results are integral and integro-differential equations for the net single premium. An exact solution is given in the special case with exponential claim sizes and zero interest force.
File in questo prodotto:
Non ci sono file associati a questo prodotto.

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11567/325952
 Attenzione

Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo

Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact