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2012-10

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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/102784

Ruin probability and time of ruin with a proportional reinsurance threshold strategy

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http://dx.doi.org/10.1007/s11750-010-0165-5

Abstract

In this paper, we present a threshold proportional reinsurance strategy and we analyze the effect on some solvency measures: ruin probability and time of ruin. This dynamic reinsurance strategy assumes a retention level that is not constant and depends on the level of the surplus. In a model with inter-occurrence times being generalized Erlang(n)-distributed, we obtain the integro-differential equation for the Gerber-Shiu function. Then, we present the solution for inter-occurrence times exponentially distributed and claim amount phase-type(N). Some examples for exponential and phase-type(2) claim amount are presented. Finally, we show some comparisons between threshold reinsurance and proportional reinsurance.

Subject

Reassegurances, Gestió del risc, Avaluació del risc, Assegurances de vida, Supervivència

Subject (English)

Reinsurance, Risk management, Risk assessment, Life insurance, Survival

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Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)

Citation

CASTAÑER, Anna, CLARAMUNT BIELSA, M. Mercè and MÁRMOL, Maite. Ruin probability and time of ruin with a proportional reinsurance threshold strategy. TOP. 2012. Vol. 20, num. 3, pags. 614-638. ISSN 1134-5764. [consulted: 17 of June of 2026]. Available at: https://hdl.handle.net/2445/102784

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