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Record identifier : 564607
Personal Name - Primary Intelectual Responsibility : Jamali, vahid reza
Title and statement of responsibility : optimal retention under the two risk measures: VaR and CTE [Thesis]/جمالی، وحیدرضا;supervisor: khorrami;advisor: Aalabaf
Publication, Distribution,Etc. : , 2007
Language of the Item : eng
Internal Bibliographies/Indexes Note : Bibliography
Dissertation of thesis details and type of degree : Master of arts
Body granting the degree : , ECO College of insurance
Summary or Abstract : in the presence of one specific reinsurance scheme, what is the optimal retention? this research contributes to the reasearch in the area of finding the optimal retention by consideing the stop-loss reinsurance schems. the results will be applied on an individual risk model with dependent risk and the effect of the dependency on the amount of optimal retention will be investigated. the results indicate that both optimization criteria, VaR and CTE, lead to the risk affect the optimal retention..
Topical Name Used as Subject : Stop- loss reinsurance
: Optimal retention
: Var
: Cte
Information of biblio record : TL
 
 
 
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