No dia 2 de novembro, o professor Manuel Guerra (ISEG) apresenta o estudo “On optimal reinsurance of dependent risks”.
Abstract:
Buying reinsurance, an insurance company passes part of its risk exposure to other company, paying an agreed sum (premium) in compensation. By chosing different types of reinsurance, the insurer can cede different parts of the risk distribution. Often, reinsurance for different risks (i.e., for different lines of business, different sub-portfolios, or even different policies) are object of separate contracts. It is well known that dependencies between separate risks strongly affect the overall risk exposure. Therefore, the choice of reinsurance contracts for different risks should take into account such dependencies. However, the precise effect of such dependencies has been difficult to characterize. We discuss the problem of finding the optimal portfolio of reinsurance policies under generic dependence structures. We show that such portfolio exists and can be computed. However, it lacks some desirable properties, namely it often induces situations of “moral hazard”. We consider additional constraints to exclude such situations, and obtain optimal reinsurance portfolios free of obvious moral hazards.
Os seminários de investigação decorrem de 21 de setembro a 14 de dezembro, às quartas-feiras, das 13h00 às 14h00, no Anfiteatro Novo Banco (Edifício Quelhas, 4º piso).
As sessões contam com a participação de docentes do ISEG e de outras escolas nacionais e internacionais, onde serão abordados tópicos relacionados com a Economia, Gestão, Finanças, Ciências Sociais e Matemática.
Entrada livre.
