Discrete-time Insurance Model with Capital Injections and Reinsurance

Ekaterina Bulinskaya (), Julia Gusak and Anastasia Muromskaya
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Ekaterina Bulinskaya: Lomonosov Moscow State University
Julia Gusak: Lomonosov Moscow State University
Anastasia Muromskaya: Lomonosov Moscow State University

Methodology and Computing in Applied Probability, 2015, vol. 17, issue 4, 899-914

Abstract: Abstract A periodic-review insurance model is considered under the following assumptions. In order to avoid ruin the insurer maintains the company surplus above a chosen level a by capital injections at the end of each period. One-period insurance claims form a sequence of independent identically distributed nonnegative random variables with finite mean. A nonproportional reinsurance is applied for minimization of total expected discounted injections during a given planning horizon of n periods. Insurance and reinsurance premiums are calculated using the expected value principle. Optimal reinsurance strategy is established. Numerical results illustrating the theoretical ones are provided for three claims distributions.

Keywords: Discrete-time insurance model; Capital injection; Nonproportional reinsurance; Optimal strategy; 91B30; 90C46; 90C39 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s11009-014-9418-3

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