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Optimal Proportional Reinsurance and Ruin Probability toMaximize the Adjustment Coefficient——Diffusion-Approximation Risk Model(PDF)

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

Issue:
2015年04期
Page:
47-
Research Field:
数学
Publishing date:

Info

Title:
Optimal Proportional Reinsurance and Ruin Probability toMaximize the Adjustment Coefficient——Diffusion-Approximation Risk Model
Author(s):
Hua Ting1; Liang Zhibin2
（1.School of Mathematical Sciences and Chemical Engineering，Changzhou Institute of Technology，Changzhou 213002，China）（2.School of Mathematical Sciences，Nanjing Normal University，Nanjing 210023，China）
Keywords:
adjustment coefficient; diffusion approximation; proportional reinsurance; ruin probability
PACS:
O211.63
DOI:
-
Abstract:
Using a different premium principle—mean-standard deviation premium principle，we solve the optimal reinsurance problem in the diffusion-approximation （D-A for short） case to maximize the adjustment coefficient. We derive the explicit expressions for the optimal proportional reinsurance strategy and the minimum ruin probability. In the end，some numerical examples are presented to show the impact of model parameters on the optimal strategies.

References:

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Memo

Memo:
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Last Update: 2015-12-30