Ruin probability and time of ruin with a proportional reinsurance threshold strategy

Anna Castañer, M. Claramunt () and Maite Mármol ()

TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, 2012, vol. 20, issue 3, 614-638

Abstract: In this paper, we present a threshold proportional reinsurance strategy and we analyze the effect on some solvency measures: ruin probability and time of ruin. This dynamic reinsurance strategy assumes a retention level that is not constant and depends on the level of the surplus. In a model with inter-occurrence times being generalized Erlang(n)-distributed, we obtain the integro-differential equation for the Gerber–Shiu function. Then, we present the solution for inter-occurrence times exponentially distributed and claim amount phase-type(N). Some examples for exponential and phase-type(2) claim amount are presented. Finally, we show some comparisons between threshold reinsurance and proportional reinsurance. Copyright Sociedad de Estadística e Investigación Operativa 2012

Keywords: Gerber–Shiu function; Generalized Erlang(n); Reinsurance strategy; Solvency measures; 62P05; 91B30 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s11750-010-0165-5

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