Discrete-time Insurance Model with Capital Injections and Reinsurance

Ekaterina Bulinskaya, Julia Gusak, Anastasia Muromskaya

Research output: Contribution to journalArticlepeer-review

8 Citations (Scopus)

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 languageEnglish
Pages (from-to)899-914
Number of pages16
JournalMethodology and Computing in Applied Probability
Volume17
Issue number4
DOIs
Publication statusPublished - 1 Dec 2015
Externally publishedYes

Keywords

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

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