Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting
Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting
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DOI：
10.1002/asmb.637
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发表时间：
2007
影响因子：
1.4
通讯作者：
Xin Zhang;Minghe Zhou;Junyi Guo
中科院分区：
文献类型：
--
作者：
Xin Zhang;Minghe Zhou;Junyi Guo
本文用一个正漂移的布朗运动来描述一个大型保险公司的盈余，它是经典风险过程的近似。研究了通过控制组合份额和超额损失再保险策略来最小化破产概率的问题。我们证明了最优组合再保险策略必须是纯超额损失再保险策略。此外，我们还给出了最优再保险策略的显式解。版权所有© 2006约翰威利父子有限公司。
In this paper, we describe a large insurance company's surplus by a Brownian motion with positive drift, which is the approximation of a classical risk process. The problem of minimizing the probability of ruin by controlling the combinational quota‐share and excess‐of‐loss reinsurance strategy is considered. We show that the optimal combinational reinsurance strategy must be the pure excess‐of‐loss reinsurance strategy. Moreover, we give an explicit solution for the optimal reinsurance strategy. Copyright © 2006 John Wiley & Sons, Ltd.