Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process

Lianzeng Zhang, Xiang Hu and Baige Duan

Scandinavian Actuarial Journal, 2015, vol. 2015, issue 5, 455-467

Abstract: In this paper, we study the retention levels for combinations of quota-share and excess of loss reinsurance by maximizing the insurer’s adjustment coefficient, which in turn minimizes the asymptotic result of ruin probability. Assuming that the premiums are determined by the expected value principle, we consider a discrete risk model, in which a dependence structure is introduced based on Poisson MA(1) process between the claim numbers for each period. The impact of dependence parameter on the adjustment coefficient is discussed and numerical examples are provided to illustrate the results obtained in this paper.

Date: 2015
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03461238.2013.849615 (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:2015:y:2015:i:5:p:455-467

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

DOI: 10.1080/03461238.2013.849615

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 ().