Discrete-time Insurance Model with Capital Injections and Reinsuranceстатья
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Дата последнего поиска статьи во внешних источниках: 5 сентября 2016 г.
Аннотация:A periodic-review insurance model is considered under the following
assumptions. In order to avoid ruin the insurer maintains the
company surplus above a chosen level $a$ by capital injections at
the end of each period. One-period insurance claims form a sequence
of independent identically distributed nonnegative random variables with finite mean. A nonproportional reinsurance is applied for minimization of total expected discounted injections during a given planning horizon of $n$ periods. Insurance and reinsurance premiums are calculated using the expected value principle. Optimal reinsurance strategy is
established. Numerical results illustrating the theoretical ones are provided for three claims distributions.