Risk theory insight into a zone-adaptive control strategy

Vsevolod K. Malinovskii

Insurance: Mathematics and Economics, 2008, vol. 42, issue 2, 656-667

Abstract: The main purpose of this paper is a risk theory insight into the problem of asset-liability and solvency adaptive management. In the multiperiodic insurance risk model composed of chained classical risk models, a zone-adaptive control strategy, essentially similar to that applied in Directives [Directive 2002/13/EC of the European Parliament and of the Council of 5 March 2002, Brussels, 5 March 2002], is introduced and its performance is examined analytically. That examination was initiated in [Malinovskii, V.K., 2006b. Adaptive control strategies and dependence of finite time ruin on the premium loading. Insurance: Math. Econ. (in press)] and is based on the application of the explicit expression for the finite-time ruin probability in the classical risk model. The result of independent interest in the paper is the representation of that finite-time ruin probability in terms of asymptotic series, as time increases.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:42:y:2008:i:2:p:656-667

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