## Abstract

A periodic-review insurance model is considered under the following assumptions. In order to avoid ruin the insurer maintains the company surplus above a chosen level a by capital injections at the end of each period. One-period insurance claims form a sequence of independent identically distributed nonnegative random variables with finite mean. A nonproportional reinsurance is applied for minimization of total expected discounted injections during a given planning horizon of n periods. Insurance and reinsurance premiums are calculated using the expected value principle. Optimal reinsurance strategy is established. Numerical results illustrating the theoretical ones are provided for three claims distributions.

Original language | English |
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Pages (from-to) | 899-914 |

Number of pages | 16 |

Journal | Methodology and Computing in Applied Probability |

Volume | 17 |

Issue number | 4 |

DOIs | |

Publication status | Published - 1 Dec 2015 |

Externally published | Yes |

## Keywords

- Capital injection
- Discrete-time insurance model
- Nonproportional reinsurance
- Optimal strategy