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The Effect of the Retention Limit on the Risk Reserve

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  • Centeno, Maria de Lourdes

Abstract

This paper is devoted to the study of the initial reserve, as a function of the retention limit, needed to assure that the probability of ruin, at the end of a certain period of time, is not higher than an agreed value, for an excess of loss treaty. To assess the probability of ruin, the normal and the normal power approximation are used. It is shown that the initial reserve is not in general an increasing function of the retention, having a minimum under fair assumptions.

Suggested Citation

  • Centeno, Maria de Lourdes, 1995. "The Effect of the Retention Limit on the Risk Reserve," ASTIN Bulletin, Cambridge University Press, vol. 25(1), pages 67-74, May.
    • Handle: RePEc:cup:astinb:v:25:y:1995:i:01:p:67-74_00
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    Cited by:

    1. Gian Paolo Clemente, 2018. "The Effect of Non-Proportional Reinsurance: A Revision of Solvency II Standard Formula," Risks, MDPI, vol. 6(2), pages 1-13, May.
    2. Gian Paolo Clemente & Nino Savelli & Diego Zappa, 2015. "The Impact of Reinsurance Strategies on Capital Requirements for Premium Risk in Insurance," Risks, MDPI, vol. 3(2), pages 1-19, June.

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