In this paper,the authors investigate the optimal per-claim reinsurance problem under the continuous-time framework to minimize the insurer's ruin probability based on the Lundberg exponent.Considering reinsurance...In this paper,the authors investigate the optimal per-claim reinsurance problem under the continuous-time framework to minimize the insurer's ruin probability based on the Lundberg exponent.Considering reinsurance participants'diversified risk preferences,the authors assume that the reinsurance premium is calculated by a combined premium principle,including the expected value premium principle and upper moment premium principle.Then,the authors derive the insurer's optimal reinsurance strategy satisfying the principle of indemnity and the incentive compatibility condition in an infinite reinsurance space based on the point-wise optimization approach.Besides,the proposed work emphasizes the optimality and admissibility of the combination of the excess of loss reinsurance and its dual form when a piecewise reinsurance premium principle is considered.As a special case,the optimal reinsurance strategy under the expected value premium principle reduces to the classic result.Furthermore,the numerical analyses are provided to illustrate the effects of the main parameters on the maximal Lundberg exponent and the optimal reinsurance strategy.展开更多
In this paper,a class of risk processes perturbed by diffusion are considered. The Lundberg inequalities for the ruin probability are obtained.The size of the Lundberg exponents for different kinds of risk model is co...In this paper,a class of risk processes perturbed by diffusion are considered. The Lundberg inequalities for the ruin probability are obtained.The size of the Lundberg exponents for different kinds of risk model is compared. The numerical illustration for the impact of the parameters on the ruin probability is given.展开更多
基金supported by the National Natural Science Foundation of China under Grant Nos.12071498 and 12371478the Program for Innovation Research in Central University of Finance and Economics and Innovation Introduction Base for Insurance Risk Analysis and Decision Making Discipline under Grant No.B17050。
文摘In this paper,the authors investigate the optimal per-claim reinsurance problem under the continuous-time framework to minimize the insurer's ruin probability based on the Lundberg exponent.Considering reinsurance participants'diversified risk preferences,the authors assume that the reinsurance premium is calculated by a combined premium principle,including the expected value premium principle and upper moment premium principle.Then,the authors derive the insurer's optimal reinsurance strategy satisfying the principle of indemnity and the incentive compatibility condition in an infinite reinsurance space based on the point-wise optimization approach.Besides,the proposed work emphasizes the optimality and admissibility of the combination of the excess of loss reinsurance and its dual form when a piecewise reinsurance premium principle is considered.As a special case,the optimal reinsurance strategy under the expected value premium principle reduces to the classic result.Furthermore,the numerical analyses are provided to illustrate the effects of the main parameters on the maximal Lundberg exponent and the optimal reinsurance strategy.
文摘In this paper,a class of risk processes perturbed by diffusion are considered. The Lundberg inequalities for the ruin probability are obtained.The size of the Lundberg exponents for different kinds of risk model is compared. The numerical illustration for the impact of the parameters on the ruin probability is given.
