OPTIMIZATION OF PROPORTIONAL REINSURANCE CONTRACT UNDER DYNAMIC VALUE-AT-RISK CONSTRAINT
Reinsurance is able to limit the total severity that is experienced by the insurance company so that the company is safe from financial ruin (insolvent). This thesis will discuss about the optimal proportional reinsurance strategy by insurer’s point of view. The objective is to determine the opti...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/49584 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |