Optimal proportional reinsurance under dependent risks

被引：0
|
作者：
Hu, Fengqing [1 ,3 ]
Yuen, Kam C. [2 ]
机构：
[1] Suzhou Univ, Dept Math, Suzhou 215006, Peoples R China
[2] Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China
[3] Suzhou Univ, Ctr Financial Engn, Suzhou 215006, Peoples R China
来源：
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY | 2012年 / 25卷 / 06期
关键词：
Adjustment coefficient; mean-variance principle; optimal proportional reinsurance; thinning-dependence structure; EXCESS; MODEL;
D O I：
10.1007/s11424-012-1045-x
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
This paper considers a correlated risk model with thinning-dependence structure. The authors investigate the optimal proportional reinsurance that maximizes the adjustment coefficient and the optimal proportional reinsurance under mean variance principle for the proposed model. The authors derive the optimal solutions and the numerical illustrations to show the impact of the dependence among the classes of business on the optimal reinsurance arrangements.
引用
收藏
页码：1171 / 1184
页数：14
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