Optimal risk control for the excess of loss reinsurance policies
Meng, Hui
text
periodical
esp
20100503
continuing
spa
The primary objective of the paper is to explore using reinsurance as a risk management tool for an insurance company. We consider an insurance company whose surplus can be modeled by a Brownian motion with drift and that the surplus can be invested in a risky or riskless asset. Under the above Black-Scholes type framework and using the objective of minimizing the ruin probability of the insurer, we formally establish that the excess-of-loss reinsurance treaty is optimal among the class of plausible reinsurance treaties. We also obtain the optimal level of retention as well as provide an explicit expression of the minimal probability of ruin.
Hui Meng, Xin Zhang
6
Astin bulletin
Belgium : ASTIN and AFIR Sections of the International Actuarial Association
0515-0361
MAP20077000420
03/05/2010 Volumen 40 NĂºmero 1 - mayo 2010 , p. 179-197
MAP
150805
20150911144731.0
MAP20150026965
spa