Controlling Ultimate Ruin Probability by Quota-Share Reinsurance Arrangements

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dc.creatorKasozi, Juma
dc.creatorCharles, Wilson M.
dc.creatorMayambala, Fred
dc.date2016-09-21T13:13:42Z
dc.date2016-09-21T13:13:42Z
dc.date2013
dc.date.accessioned2018-03-27T08:58:04Z
dc.date.available2018-03-27T08:58:04Z
dc.descriptionA basic insurance model is perturbated by a diffusion. We take this model to represent the wealth dynamics of an insurance company. The model is compounded by another return on investments process of the Black-Scholes type. Both models form the risk process used in this work. Further, to manage her risk levels, the company enters into quota-share reinsurance arrangements with a reinsurer. We derive a second-order Volterra integro-differential equation which we transforminto a linear Volterra integral equation of the second kind. We have solved the equations numerically using the block-by-block method for different retention levels for the chosen parameters. Results show that quota-share reinsurance improves the survival of the insurer
dc.identifierKasozi, J., Mahera, C.W. and Mayambala, F., 2013. Controlling ultimate ruin probability by quota-share reinsurance arrangements. International Journal of Applied Mathematics and Statistics, 49(19).
dc.identifier0973-7545
dc.identifierhttp://hdl.handle.net/20.500.11810/3900
dc.identifier.urihttp://hdl.handle.net/20.500.11810/3900
dc.languageen
dc.subjectUltimate ruin probability
dc.subjectHJB equation
dc.subjectVolterra equations
dc.subjectBlock-by-block method
dc.subjectQuota-share reinsurance
dc.titleControlling Ultimate Ruin Probability by Quota-Share Reinsurance Arrangements
dc.typeJournal Article, Peer Reviewed

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