Optimal reinsurance in a compound Poisson risk model with dependence

被引：6
|
作者：
Wei, Wei [1 ]
Liang, Zhibin [2 ]
Yuen, Kam Chuen [1 ]
机构：
[1] Univ Hong Kong, Dept Stat & Actuarial Sci, Pokfulam Rd, Pokfulam, Hong Kong, Peoples R China
[2] Nanjing Normal Univ, Inst Finance & Stat, Sch Math Sci, Nanjing 210023, Jiangsu, Peoples R China
来源：
JOURNAL OF APPLIED MATHEMATICS AND COMPUTING | 2018年 / 58卷 / 1-2期
基金：
中国国家自然科学基金;
关键词：
Adjustment coefficient; Compound Poisson risk model; Optimal reinsurance; Thinning dependence; AGGREGATE CLAIMS MODEL; OPTIMAL INVESTMENT; RUIN; PROBABILITY;
D O I：
10.1007/s12190-017-1150-z
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper considers the problem of optimal reinsurance in a compound Poisson risk model with dependent classes of insurance business. It is assumed that the risk process in each class follows a compound Poisson process, and that all classes are correlated due to the so-called thinning-dependence structure. Under the criterion of maximizing the adjustment coefficient, methods for finding the optimal reinsurance strategies are discussed for both the expected value premium principle and the variance premium principle. Numerical examples are also provided to illustrate the impact of the model parameters on the optimal reinsurance strategies.
引用
收藏
页码：389 / 412
页数：24
相关论文
共 50 条
  • [1] Optimal reinsurance in a compound Poisson risk model with dependence
    Wei Wei
    Zhibin Liang
    Kam Chuen Yuen
    [J]. Journal of Applied Mathematics and Computing, 2018, 58 : 389 - 412
  • [2] Optimal Layer Reinsurance for Compound Fractional Poisson Model
    Zhang, Jiesong
    [J]. DISCRETE DYNAMICS IN NATURE AND SOCIETY, 2019, 2019
  • [3] On the compound Poisson risk model with dependence and a threshold dividend strategy
    Shi, Yafeng
    Liu, Peng
    Zhang, Chunsheng
    [J]. STATISTICS & PROBABILITY LETTERS, 2013, 83 (09) : 1998 - 2006
  • [4] Optimal dividend and proportional reinsurance strategy for the risk model with common shock dependence
    Yang, Bo
    Song, Ruili
    Yao, Dingjun
    Cheng, Gongpin
    [J]. STOCHASTIC MODELS, 2024,
  • [5] Analysis of ruin measures for the classical compound Poisson risk model with dependence
    Cossette, Helene
    Marceau, Etienne
    Marri, Fouad
    [J]. SCANDINAVIAN ACTUARIAL JOURNAL, 2010, (03) : 221 - 245
  • [6] On a compound Poisson risk model with dependence and in the presence of a constant dividend barrier
    Cossette, Helene
    Marceau, Etienne
    Marri, Fouad
    [J]. APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2014, 30 (02) : 82 - 98
  • [7] Dynamic Proportional Reinsurance and Approximations for Ruin Probabilities in the Two-Dimensional Compound Poisson Risk Model
    Li, Yan
    Liu, Guoxin
    [J]. DISCRETE DYNAMICS IN NATURE AND SOCIETY, 2012, 2012
  • [8] OPTIMAL DIVIDEND PAYMENT AND REGIME SWITCHING IN A COMPOUND POISSON RISK MODEL
    Azcue, Pablo
    Muler, Nora
    [J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2015, 53 (05) : 3270 - 3298
  • [9] Optimal Per-Loss Reinsurance for a Risk Model with a Thinning-Dependence Structure
    Wang, Fudong
    Liang, Zhibin
    [J]. MATHEMATICS, 2022, 10 (23)
  • [10] OPTIMAL INVESTMENT AND REINSURANCE ON SURVIVAL AND GROWTH PROBLEMS FOR THE RISK MODEL WITH COMMON SHOCK DEPENDENCE
    Duan, Shida
    Liang, Zhibin
    [J]. RAIRO-OPERATIONS RESEARCH, 2022, 56 (05) : 3611 - 3634
12345