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On Minimizing the Ultimate Ruin Probability of an Insurer by Reinsurance

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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


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