A state dependent reinsurance model

Onno Boxma, Esther Frostig, David Perry and Rami Yosef

Insurance: Mathematics and Economics, 2017, vol. 74, issue C, 170-181

Abstract: We consider the surplus of an insurance company that employs reinsurance. The reinsurer covers part of the claims, but in return it receives a certain part of the income from premiums of the insurance company. In addition, the reinsurer receives some of the dividends that are withdrawn when a certain surplus level b is reached.

Keywords: Reinsurance; Time to ruin; Deficit at ruin; Dividend; State dependence (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167668716300324
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:74:y:2017:i:c:p:170-181

DOI: 10.1016/j.insmatheco.2017.03.004

Access Statistics for this article

Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().