Title

MINIMIZING THE RUIN PROBABILITY OF RISK PROCESSES WITH REINSURANCE

Author

EKATERINA TODOROVA KOLKOVSKA

Access level

Open Access

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 [8], Centeno

[3] and Hesselager [4].

Publisher

Academic Publications Ltd.

Publish date

2008

Publication type

Article

Publication version

Published Version

Format

application/pdf

Language

English

Audience

Researchers

Source repository

Repositorio Institucional CIMAT

Downloads

115

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