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Optimal Proportional Reinsurance and Ruin Probability to Maximize the Adjustment Coefficient ——JumpDiffusion Risk Model(PDF)

《南京师大学报（自然科学版）》[ISSN:1001-4616/CN:32-1239/N]

Issue:
2014年02期
Page:
23-
Research Field:
数学
Publishing date:

Info

Title:
Optimal Proportional Reinsurance and Ruin Probability to Maximize the Adjustment Coefficient ——JumpDiffusion Risk Model
Author(s):
Hua Ting1; Liang Zhibin2
(1.College of Science,Changzhou Institute of Technology,Changzhou 213002,China) (2.School of Mathematical Sciences,Nanjing Normal University,Nanjing 210023,China)
Keywords:
adjustment coefficient; jumpdiffusion; proportional reinsurance; ruin probability
PACS:
O211.63
DOI:
-
Abstract:
In this paper,using a different premium principle—meanstandard deviation premium principle,we solve the optimal reinsurance problem in the jumpdiffusion(J-D for short)case to maximize the adjustment coefficient.The closedform expressions of the optimal reinsurance strategy,the maximal adjustment coefficient and a sharper bound for the ruin probability are also given.In the end,some numerical examples are presented to show the difference of with or without reinsurance in the J-D case.

References:

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Last Update: 2014-06-30