Pravděpodobnost ruinování při zajištění

Gogola, Ján

Digitální knihovna UPCE
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Univerzita Pardubice
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Publikace vydané Univerzitou Pardubice / Published by the University of Pardubice
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Odborné časopisy / Journals
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Scientific papers of the University of Pardubice
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Series D, Faculty of Economics and Administration
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2014/30 Scientific papers, Series D
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dc.contributor.author	Gogola, Ján
dc.date.accessioned	2014-05-23T10:44:09Z
dc.date.available	2014-05-23T10:44:09Z
dc.date.issued	2014
dc.identifier	Univerzitní knihovna (studovna)
dc.identifier.issn	1211-555X (Print)
dc.identifier.issn	1804-8048 (Online)
dc.identifier.uri	http://hdl.handle.net/10195/54633
dc.format	p. 29-39	eng
dc.language.iso	cze
dc.publisher	Univerzita Pardubice
dc.relation.ispartof	Scientific papers of the University of Pardubice. Series D, Faculty of Economics and Administration. 30 (1/2014)	eng
dc.rights	open access	eng
dc.subject	reinsurance	eng
dc.subject	ruin theory	eng
dc.subject	proportional and excess of loss reinsurance	eng
dc.subject	adjustment coefficient	eng
dc.subject	retention level	eng
dc.subject	compound poisson process	eng
dc.title	Pravděpodobnost ruinování při zajištění	cze
dc.title.alternative	Ruin probability in reinsurance	eng
dc.type	Article
dc.description.abstract-translated	In actuarial science ruin theory uses mathematical models to describe an insurer’s vulnerability to ruin. Theoretical foundation of ruin theory describes an insurance company who experiences two opposing cash flows: incoming cash premiums and outgoing claims. The insurer’s surplus at any future time is a random variable since its value depends on premiums and claims. The insurer want to keep the probability of ruin as small as possible, or at least below a predetermined bound. Lundberg’s inequality provides an upper bound for the probability of ruin in infinite time and is one of the most famous results in ruin theory. One of the options for an insurer who wishes to reduce the probability of ruin is to effect reinsurance. We shall consider two kinds of reinsurance arrangement: proportional and excess of loss reinsurance. We could consider a reinsurance arrangement (from an insurer point of view) to be optimal if it minimizes the probability of ruin. The goal of this paper is to illustrate how changes in the premium loading factor (used by insurer and reinsurer) affect the probability of ruin in both kind of reinsurance. We find also the optimal type of reinsurance under certain conditions.	eng
dc.identifier.signature	47940-30
dc.peerreviewed	yes	eng
dc.publicationstatus	published	eng