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Wpływ reasekuracji i retrocesji na własności składek

Author

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  • Wojciech Antoniak

    (Szkoła Główna Handlowa w Warszawie)

Abstract

Heerwarden i Kaas (1992) wprowadzili innowacyjną metodologię w podejściu do analizowania składek. Zaproponowali podział ryzyka na dwie części- udział ubezpieczyciela i udział reasekuratora. Przeprowadzone przez nich rozumowanie spowodowało utworzenie składki holenderskiej. W pracy wykorzystam ich podejście, przedstawiając konstrukcję składki, kładącą duży nacisk na sposób, w jaki ryzyko jest dzielone i przekazywane nie tylko reasekuratorowi, ale także koasekuratorom i retrocedentom. Wskażę warunki, aby postulowana składka była koherentna, wypukła lub quasi-wypukła. W pracy wykorzystam opisy transferu ryzyka z prac Gerbera (1984) i Heijnean (1989). Poczynione rozważania pozwolą wskazać, na co musi zwracać uwagę firma ubezpieczeniowa w doborze kontraktów reasekuracyjnych, aby oferowana przez nią składka miała pożądane własności.

Suggested Citation

  • Wojciech Antoniak, 2013. "Wpływ reasekuracji i retrocesji na własności składek," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 31, pages 77-97.
    • Handle: RePEc:sgh:annals:i:31:y:2013:p:77-97
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    References listed on IDEAS

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    6. Carlo Acerbi & Dirk Tasche, 2002. "Expected Shortfall: A Natural Coherent Alternative to Value at Risk," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 31(2), pages 379-388, July.
    7. Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447.
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