Premium and reinsurance control of an ordinary insurance system with liabilities driven by a fractional Brownian motion

Alexandros Zimbidis

Scandinavian Actuarial Journal, 2008, vol. 2008, issue 1, 16-33

Abstract: This paper investigates the problem of premium and reinsurance control of an ordinary insurance system when liabilities are driven by a fractional Brownian motion. The reserve equation is considered using two alternative routes: the first with no reinsurance option, and the second with some controllable proportional reinsurance coverage. Recent results from the theory of fractional linear-quadratic control (fractional calculus) are discussed, partially extended and utilized to derive compact analytical formulae for the optimal functionals of the safety loading (consequently for the respective premium rate), and the volume of the retained risk (or equivalently, for the proportion of the reinsurance coverage).

Date: 2008
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03461230701722810 (text/html)
Access to full text is restricted to subscribers.

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:taf:sactxx:v:2008:y:2008:i:1:p:16-33

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/sact20

DOI: 10.1080/03461230701722810

Access Statistics for this article

Scandinavian Actuarial Journal is currently edited by Boualem Djehiche

More articles in Scandinavian Actuarial Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().