Browsing Computational and Communication Science Engineering by Author "Kasumo, Christian"
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Dividend Maximization Under a Set Ruin Probability Target in the Presence of Proportional and Excess-of-loss Reinsurance
Kasumo, Christian; Kasozi, Juma; Kuznetsov, Dmitry (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
Kasumo, Christian; Kasozi, Juma; Kuznetsov, Dmitry (Hindawi, 2018-02-22)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 ... -
Optimization of dividend payouts and reinsurance policies under a set ruin probability target
Kasumo, Christian (NM-AIST, 2019-03)This dissertation is devoted to the mathematical investigation of the topic: Optimization of Dividend Payouts and Reinsurance Policies under a Set Ruin Probability Target. Its purposes are, first, to determine the optimal ...