The Effect of a Threshold Proportional Reinsurance Strategy on Ruin Probabilities

Anna Castañer, M. Merce Claramunt and Maite Marmol
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Maite Marmol: Universitat de Barcelona

No 222, Working Papers in Economics from Universitat de Barcelona. Espai de Recerca en Economia

Abstract: In the context of a compound Poisson risk model, we define a threshold proportional reinsurance strategy: A retention level k1 is applied whenever the reserves are less than a determinate threshold b, and a retention level k2 is applied in the other case. We obtain the integro-differential equation for the Gerber-Shiu function (defined in Gerber and Shiu (1998)) in this model, which allows us to obtain the expressions for ruin probability and Laplace transforms of time of ruin for several distributions of the claim sizes. Finally, we present some numerical results.

JEL-codes: G22 (search for similar items in EconPapers)
Pages: 0 pages
Date: 2009
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