New Findings in Mathematics Described from University of Economics (The Reduction of Initial Reserves Using the Optimal Reinsurance Chains in Non-Life Insurance)

2021 JUL 16 (NewsRx) -- By a News Reporter-Staff News Editor at Insurance Daily News -- Investigators discuss new findings in mathematics. According to news reporting out of Bratislava, Slovakia, by NewsRx editors, research stated, “The aim of the paper is to propose, and give an example of, a strategy for managing insurance risk in continuous time to protect a portfolio of non-life insurance contracts against unwelcome surplus fluctuations.”

Financial supporters for this research include Scientific Grant Agency of the Minister of Education, Science, Research and Sports and an auxiliary body of the presidium of the Slovak Academy of Sciences.

The news journalists obtained a quote from the research from University of Economics: “The strategy combines the characteristics of the ruin probability and the values * * VaR* * and * * CVaR* *. It also proposes an approach for reducing the required initial reserves by means of capital injections when the surplus is tending towards negative values, which, if used, would protect a portfolio of insurance contracts against unwelcome fluctuations of that surplus. The proposed approach enables the insurer to analyse the surplus by developing a number of scenarios for the progress of the surplus for a given reinsurance protection over a particular time period. It allows one to observe the differences in the reduction of risk obtained with different types of reinsurance chains.”

According to the news reporters, the research concluded: “In addition, one can compare the differences with the results obtained, using optimally chosen parameters for each type of proportional reinsurance making up the reinsurance chain.”

For more information on this research see: The Reduction of Initial Reserves Using the Optimal Reinsurance Chains in Non-Life Insurance. Mathematics, 2021,9(1350):1350. (Mathematics - http://www.mdpi.com/journal/mathematics). The publisher for Mathematics is MDPI AG.

A free version of this journal article is available at https://doi.org/10.3390/math9121350.

Our news editors report that additional information may be obtained by contacting Galina Horakova, Department of Mathematics & Actuarial Science, Faculty of Economic Informatics, University of Economics in Bratislava, Dolnozemska Cesta 1, b, 852 35 Bratislava, Slovakia. Additional authors for this research include František Slaninka, Zsolt Simonka.

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