Abstract
We study the effect of reinsurance on the probability of ultimate ruin in the classical surplus process and consider a retention level as optimal if it minimises the ruin probability. We show that optimal retention levels can be found when the reinsurer's premium loading depends on the retention level. We also show that when the aggregate claims process is approximated by a translated Gamma process, very good approximations to both optimal retention levels and ruin probabilities can be obtained. Finally, we discuss the effect of reinsurance on the probability of ruin in finite time.
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.
