| dc.creator |
Kasozi, Juma |
|
| dc.creator |
Charles, Wilson M. |
|
| dc.creator |
Mayambala, Fred |
|
| dc.date |
2016-09-21T13:13:42Z |
|
| dc.date |
2016-09-21T13:13:42Z |
|
| dc.date |
2013 |
|
| dc.date.accessioned |
2018-03-27T08:58:04Z |
|
| dc.date.available |
2018-03-27T08:58:04Z |
|
| dc.identifier |
Kasozi, 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.identifier |
0973-7545 |
|
| dc.identifier |
http://hdl.handle.net/20.500.11810/3900 |
|
| dc.identifier.uri |
http://hdl.handle.net/20.500.11810/3900 |
|
| dc.description |
A 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.language |
en |
|
| dc.subject |
Ultimate ruin probability |
|
| dc.subject |
HJB equation |
|
| dc.subject |
Volterra equations |
|
| dc.subject |
Block-by-block method |
|
| dc.subject |
Quota-share reinsurance |
|
| dc.title |
Controlling Ultimate Ruin Probability by Quota-Share Reinsurance Arrangements |
|
| dc.type |
Journal Article, Peer Reviewed |
|