This page has only limited features, please log in for full access.

Unclaimed
Zsolt Simonka
Department of Mathematics & Actuarial Science, Faculty of Economic Informatics, University of Economics in Bratislava, Dolnozemská Cesta 1/b, 852 35 Bratislava, Slovakia

Honors and Awards

The user has no records in this section


Career Timeline

The user has no records in this section.


Short Biography

The user biography is not available.
Following
Followers
Co Authors
The list of users this user is following is empty.
Following: 0 users

Feed

Journal article
Published: 11 June 2021 in Mathematics
Reads 0
Downloads 0

The aim of the paper is to propose, and give an example of, a strategy for managing insurance risk in continuous time to protect a portfolio of non-life insurance contracts against unwelcome surplus fluctuations. The strategy combines the characteristics of the ruin probability and the values VaR and CVaR. It also proposes an approach for reducing the required initial reserves by means of capital injections when the surplus is tending towards negative values, which, if used, would protect a portfolio of insurance contracts against unwelcome fluctuations of that surplus. The proposed approach enables the insurer to analyse the surplus by developing a number of scenarios for the progress of the surplus for a given reinsurance protection over a particular time period. It allows one to observe the differences in the reduction of risk obtained with different types of reinsurance chains. In addition, one can compare the differences with the results obtained, using optimally chosen parameters for each type of proportional reinsurance making up the reinsurance chain.

ACS Style

Galina Horáková; František Slaninka; Zsolt Simonka. The Reduction of Initial Reserves Using the Optimal Reinsurance Chains in Non-Life Insurance. Mathematics 2021, 9, 1350 .

AMA Style

Galina Horáková, František Slaninka, Zsolt Simonka. The Reduction of Initial Reserves Using the Optimal Reinsurance Chains in Non-Life Insurance. Mathematics. 2021; 9 (12):1350.

Chicago/Turabian Style

Galina Horáková; František Slaninka; Zsolt Simonka. 2021. "The Reduction of Initial Reserves Using the Optimal Reinsurance Chains in Non-Life Insurance." Mathematics 9, no. 12: 1350.