dc.contributor.author |
Kasumo, Christian
|
|
dc.contributor.author |
Kasozi, Juma
|
|
dc.contributor.author |
Kuznetsov, Dmitry
|
|
dc.date.accessioned |
2020-03-17T08:05:20Z |
|
dc.date.available |
2020-03-17T08:05:20Z |
|
dc.date.issued |
2018-02-22 |
|
dc.identifier.uri |
https://doi.org/10.1155/2018/9180780 |
|
dc.identifier.uri |
http://dspace.nm-aist.ac.tz/handle/123456789/641 |
|
dc.description |
This research article published by Hindawi, 2018 |
en_US |
dc.description.abstract |
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. |
en_US |
dc.language.iso |
en |
en_US |
dc.publisher |
Hindawi |
en_US |
dc.subject |
Research Subject Categories::MATHEMATICS |
en_US |
dc.title |
On Minimizing the Ultimate Ruin Probability of an Insurer by Reinsurance |
en_US |
dc.type |
Article |
en_US |