Results overview: Found 4 records in 0.01 seconds.
Articles, 1 records found
Research literature, 3 records found
Articles 1 records found  
1.
14 p, 126.3 KB On the probability of reaching a barrier in an Erlang(2) risk process / Claramunt Bielsa, Maria Mercè (Universitat de Barcelona) ; Mármol, Maite (Universitat de Barcelona) ; Lacayo, Ramon A. (Universitat Autònoma de Barcelona)
In this paper the process of aggregated claims in a non-life insurance portfolio as defined in the classical model of risk theory is modified. The Compound Poisson process is replaced with a more general renewal risk process with interoccurrence times of Erlangian type. [...]
2005
SORT : statistics and operations research transactions, Vol. 29, Núm. 2 (July-December 2005) , p. 235-248  

Research literature 3 records found  
1.
34 p, 230.1 KB An Analysis of black-box optimization problems in reinsurance : evolutionary-based approaches / Salcedo-Sanz, Sancho ; Carro Calvo, L. ; Claramunt Bielsa, M. Mercè, 1964- ; Castañer, Anna ; Mármol, Maite ; Xarxa de Referència en Economia Aplicada (XREAP)
Black-box optimization problems (BBOP) are de ned as those optimization problems in which the objective function does not have an algebraic expression, but it is the output of a system (usually a computer program). [...]
Xarxa de Referència en Economia Aplicada (XREAP) 2013 (XREAP ; 2013-04)  
2.
28 p, 334.5 KB Modelización de la dependencia del número de siniestros. Aplicación a Solvencia II / Castañer, Anna ; Claramunt Bielsa, M. Mercè, 1964- ; Tadeo, Alba ; Varea, Javier ; Xarxa de Referència en Economia Aplicada (XREAP)
En este trabajo se estudia el efecto de la dependencia entre dos subcarteras en el requerimiento de capital obligatorio (SCR) por primas y reservas en una cartera de seguros no vida. Para ello, la dependencia se establece entre el número de siniestros de cada subcartera, que se modeliza mediante un choque común. [...]
Xarxa de Referència en Economia Aplicada (XREAP) 2016 (XREAP ; 2016-01)  
3.
32 p, 872.2 KB Optimal stop-loss reinsurance : a dependence analysis / Castañer, Anna ; Claramunt Bielsa, M. Mercè, 1964- ; Xarxa de Referència en Economia Aplicada (XREAP)
The stop-loss reinsurance is one of the most important reinsurance contracts in the insurance market. From the insurer point of view, it presents an interesting property: it is optimal if the criterion of minimizing the variance of the cost of the insurer is used. [...]
Xarxa de Referència en Economia Aplicada (XREAP) 2014 (XREAP2014 ; 04)  

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