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Dividend Maximization Under a Set Ruin Probability Target in the Presence of Proportional and Excess-of-loss Reinsurance
(Applications and Applied Mathematics, 2020-06)
We study dividend maximization with set ruin probability targets for an insurance company whose surplus is modelled by a diffusion perturbed classical risk process. The company is permitted to enter into proportional or ...
On Minimizing the Ultimate Ruin Probability of an Insurer by Reinsurance
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 ...