| dc.creator |
Kasumo, Christian |
|
| dc.creator |
Kasozi, Juma |
|
| dc.creator |
Kuznetsov, Dmitry |
|
| dc.date |
2020-03-17T08:05:20Z |
|
| dc.date |
2020-03-17T08:05:20Z |
|
| dc.date |
2018-02-22 |
|
| dc.date.accessioned |
2022-10-25T09:15:48Z |
|
| dc.date.available |
2022-10-25T09:15:48Z |
|
| dc.identifier |
https://doi.org/10.1155/2018/9180780 |
|
| dc.identifier |
http://dspace.nm-aist.ac.tz/handle/123456789/641 |
|
| dc.identifier.uri |
http://hdl.handle.net/123456789/94615 |
|
| dc.description |
This research article published by Hindawi, 2018 |
|
| dc.description |
We consider an insurance company whose reserves dynamics follow a diffusion-perturbed risk model. To reduce its risk,
the company chooses to reinsure using proportional or excess-of-loss reinsurance. Using the Hamilton-Jacobi-Bellman (HJB)
approach, we derive a second-order Volterra integrodifferential equation (VIDE) which we transforminto a linear Volterra integral
equation (VIE) of the second kind. We then proceed to solve this linear VIE numerically using the block-by-block method for
the optimal reinsurance policy that minimizes the ultimate ruin probability for the chosen parameters. Numerical examples with
both light- and heavy-tailed distributions are given. The results show that proportional reinsurance increases the survival of the
company in both light- and heavy-tailed distributions for the Cram´er-Lundberg and diffusion-perturbed models. |
|
| dc.format |
application/pdf |
|
| dc.language |
en |
|
| dc.publisher |
Hindawi |
|
| dc.subject |
Research Subject Categories::MATHEMATICS |
|
| dc.title |
On Minimizing the Ultimate Ruin Probability of an Insurer by Reinsurance |
|
| dc.type |
Article |
|