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    STUDIA OECONOMICA - Issue no. 1 / 2005  
         
  Article:   THE RISKINESS AND THE REINSURANCE IN LIFE PORTFOLIO WITH “DREAD-DISEASE” COVERAGE.

Authors:  ELENA CARDONA, PAOLO DE ANGELIS, ERNESTO VOLPE DI PRIGNANO. 		 
       
         
  Abstract:  In this paper we present final results of a research on the riskiness of a life policies portfolio with “dread disease” (briefly: DD) coverage in additional or early form, referring to the insurer’s point of view. By means of first and second moments of the random present value of gain on a single policy, portfolio ruin probability’s estimates are derived under either Cebicev-Cantelli’s inequality or normal distribution hypothesis, in presence of a low positive correlation among risks and also introducing optimal strategies referred to a surplus reinsurance treaty to face the correlation’s effects. By means of numerical applications based on insurance company’s experiences we show the riskiness and the ruin probability considerably increase when a binary correlation exists and we demonstrate the inefficiency of the EEC minimum solvency margin rule, even in presence of optimal reinsurance strategies.

Keywords: Risk Theory. DD. Correlation. Reinsurance. Solvency Margin 		 
         
     
         
         
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