Βέλτιστες κατανομές κεφαλαίων μεταξύ ασφαλιστικών εταιριών
SubjectRisk (Insurance) -- Mathematical models ; Ασφαλιστικές εταιρείες ; Ασφαλιστικές εταιρείες -- Χρηματοοικονομική ανάλυση
The level of capital to be held by an insurance company is essential and should be defined, so that with high probability the company can meet its obligations. Thus the determination of a target level of capital under an appropriate risk measure is essential. In this thesis we study the effect of risk transfer between insurance companies on this target level of required capital. This thesis is based on two papers, aiming to present optimal capital allocation – risk transfers methods, between insurance companies, under certain capital requirements – thus risk measures. Further based on a certain theory and on a stochastic model of single claims development, we study the impact of risk transfer arrangements between insurance companies numerically and hopefully we present interesting conclusions about optimal risk transfer in this model environment.