Abstract
An optimal reinsurance problem of an insurer is studied in a continuous-time model, where insurance risk is partly transferred to two reinsurers, one adopting the expected-value premium principle and another one using the variance premium principle. The insurer aims to select an optimal reinsurance arrangement to minimize the probability of ruin. To provide an easy-to-implement solution to the problem, (semi)-explicit expressions for the optimal reinsurance strategies as well as the minimal ruin probabilities are derived for several claims distributions. Numerical studies including a real-data example based on the Danish fire insurance losses are provided to illustrate the solution of the problem. Our empirical results based on the Danish data reveal that the heavy-right-tailedness of claims distributions has a significant impact on the optimal reinsurance strategies and has a quite pronounced impact on the residual risk described by the minimal ruin probability.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
