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

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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.

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(c) Spanish Society of Statistics and Operations Research, 2012

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

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