Optimal reinsurance in a compound Poisson risk model with dependence |
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Authors: | Wei Wei Zhibin Liang Kam Chuen Yuen |
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Institution: | 1.Department of Statistics and Actuarial Science,The University of Hong Kong,Pokfulam,Hong Kong;2.School of Mathematical Sciences, Institute of Finance and Statistics,Nanjing Normal University,Nanjing,People’s Republic of China |
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Abstract: | This paper considers the problem of optimal reinsurance in a compound Poisson risk model with dependent classes of insurance business. It is assumed that the risk process in each class follows a compound Poisson process, and that all classes are correlated due to the so-called thinning-dependence structure. Under the criterion of maximizing the adjustment coefficient, methods for finding the optimal reinsurance strategies are discussed for both the expected value premium principle and the variance premium principle. Numerical examples are also provided to illustrate the impact of the model parameters on the optimal reinsurance strategies. |
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