Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting

Xin Zhang, Ming Zhou () and Junyi Guo

Applied Stochastic Models in Business and Industry, 2007, vol. 23, issue 1, 63-71

Abstract: In this paper, we describe a large insurance company's surplus by a Brownian motion with positive drift, which is the approximation of a classical risk process. The problem of minimizing the probability of ruin by controlling the combinational quota‐share and excess‐of‐loss reinsurance strategy is considered. We show that the optimal combinational reinsurance strategy must be the pure excess‐of‐loss reinsurance strategy. Moreover, we give an explicit solution for the optimal reinsurance strategy. Copyright © 2006 John Wiley & Sons, Ltd.

Date: 2007
References: View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://doi.org/10.1002/asmb.637

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:wly:apsmbi:v:23:y:2007:i:1:p:63-71

Access Statistics for this article

More articles in Applied Stochastic Models in Business and Industry from John Wiley & Sons
Bibliographic data for series maintained by Wiley Content Delivery ().