Estimate the Optimal Proportional Reinsurance Method in Property Insurance | ||||
المجلة المصرية للدراسات التجارية | ||||
Article 9, Volume 42, Issue 3, July 2018, Page 291-337 PDF (430.3 K) | ||||
Document Type: المقالة الأصلية | ||||
DOI: 10.21608/alat.2018.207461 | ||||
View on SCiNiTO | ||||
Authors | ||||
Ronald Spahr1; Jamaal Wasif2; Mark Sunderman1; Mohamed EL-bolkiny3; Mohamed Elmadawye4 | ||||
1Economics University of Memphis, USA | ||||
2, Mansoura University | ||||
3, Mansoura University, Egypt | ||||
4Zagazig University, Egypt | ||||
Abstract | ||||
Abstract: The study analysis properties of types of proportional reinsurance cover (such as quota share reinsurance, variable quota share reinsurance, surplus reinsurance and quota share with surplus reinsurance). Also, assessed the impact of proportional reinsurance on the Egyptian insurance Market. The study used risk measures, the Value-at-Risk (VaR) and the Conditional-TailExpectation (CTE) of aggregate claims distributions, these risk measures have been used to the determination of optimal reinsurance. This study Estimated optimal reinsurance by maximize the Return on Risk Adjusted Capital of the retained risk (RORAC | ||||
Keywords | ||||
Keywords: Proportional reinsurance; Quota-Share reinsurance; Variable Quota-Share reinsurance; Surplus reinsurance; optimal reinsurance; VaR; CTE; RORAC | ||||
References | ||||
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