MINIMIZING THE RUIN PROBABILITY OF RISK PROCESSES WITH REINSURANCE
EKATERINA TODOROVA KOLKOVSKA
Summary or description
For two combinations of proportional and excess of loss reinsurance
in a renewal risk process, we investigate existence of the insurer’s adjustment
coefficient as a function of retention levels, assuming that the premiums are
calculated according to the expected value principle. In the classical Poisson
compound case with exponentially distributed claims we prove, under some ad-
ditional assumptions, unimodality of the adjustment coefficient as a function of
the retention levels. For the maximal adjustment coefficient the ruin probabil-
ity is minimal. Our results complement previous work of Waters , Centeno
 and Hesselager .
Academic Publications Ltd.
Repositorio Institucional CIMAT