Stochastic Insurance Models with Investment and Reinsurance

Ekaterina Bulinskaya () and Alexey Shatokhin
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Ekaterina Bulinskaya: Lomonosov Moscow State University, Faculty of Mathematics and Mechanics
Alexey Shatokhin: Lomonosov Moscow State University, Faculty of Mathematics and Mechanics

Chapter Chapter 13 in Quantitative Methods and Data Analysis in Applied Demography - Volume 2, 2025, pp 155-168 from Springer

Abstract: Abstract We investigate two discrete-time risk models under quota share reinsurance. For the first model we study the finite-time and ultimate ruin probabilities of the insurer and the reinsurer. B.K. Dam and N.Q. Chung introduced the upper bounds of these probabilities in their article (Dam and Chung, Applied Mathematical Sciences, 11(53), 2609–2629 (2017)). In our work, the lower bounds are presented. Moreover, upper and lower bounds of the joint ruin probability of the insurer and the reinsurer are provided. The second model treats (in addition to reinsurance) investment in risky and non-risky assets. In the framework of cost approach we establish the optimal investment strategy in the case of linear return functions. One-period survival probability is considered as well.

Keywords: Discrete-time model; Quota share reinsurance; Finite-time ruin probability; Joint ruin probability; Investment; Risky and non-risky assets; Cost approach; Optimal strategy (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:spr:ssdmcp:978-3-031-82279-7_13

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DOI: 10.1007/978-3-031-82279-7_13

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