Search
Documentation Center

Optimal risk control for the excess of loss reinsurance policies
Recurso electrónico / electronic resource
MAP20150026965
Meng, Hui ‌
Optimal risk control for the excess of loss reinsurance policies / Hui Meng, Xin Zhang
Sumario: The primary objective of the paper is to explore using reinsurance as a risk management tool for an insurance company. We consider an insurance company whose surplus can be modeled by a Brownian motion with drift and that the surplus can be invested in a risky or riskless asset. Under the above Black-Scholes type framework and using the objective of minimizing the ruin probability of the insurer, we formally establish that the excess-of-loss reinsurance treaty is optimal among the class of plausible reinsurance treaties. We also obtain the optimal level of retention as well as provide an explicit expression of the minimal probability of ruin.
En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 03/05/2010 Volumen 40 Número 1 - mayo 2010 , p. 179-197
I. Title.