Discrete-time Insurance Model with Capital Injections and Reinsurance

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• 作者：Ekaterina Bulinskaya ; Julia Gusak…
• 关键词：Discrete ; time insurance model ; Capital injection ; Nonproportional reinsurance ; Optimal strategy ; 91B30 ; 90C46 ; 90C39
• 刊名：Methodology and Computing in Applied Probability
• 出版年：2015
• 出版时间：December 2015
• 年：2015
• 卷：17
• 期：4
• 页码：899-914
• 全文大小：1,016 KB
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• 作者单位：Ekaterina Bulinskaya (1)
  Julia Gusak (1)
  Anastasia Muromskaya (1)
  
  1. Department of Mathematics and Mechanics, Lomonosov Moscow State University, Moscow, 119991, Russia
  
• 刊物主题：Statistics, general; Life Sciences, general; Electrical Engineering; Economics general; Business/Management Science, general;
• 出版者：Springer US
• ISSN：1573-7713

文摘

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. Keywords Discrete-time insurance model Capital injection Nonproportional reinsurance Optimal strategy