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- W2502494983 abstract "An optimal reinsurance problem of an insurer is studied in a continuous-time model, where insurance risk is partly transferred to two reinsurers, one adopting the expected-value premium principle and another one using the variance premium principle. The insurer aims to select an optimal reinsurance arrangement to minimize the probability of ruin. To provide an easy-to-implement solution to the problem, (semi)-explicit expressions for the optimal reinsurance strategies as well as the minimal ruin probabilities are derived for several claims distributions. Numerical studies including a real-data example based on the Danish fire insurance losses are provided to illustrate the solution of the problem. Our empirical results based on the Danish data reveal that the heavy-right-tailedness of claims distributions has a significant impact on the optimal reinsurance strategies and has a quite pronounced impact on the residual risk described by the minimal ruin probability." @default.
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- W2502494983 date "2016-12-01" @default.
- W2502494983 modified "2023-09-27" @default.
- W2502494983 title "Optimal reinsurance policies with two reinsurers in continuous time" @default.
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- W2502494983 doi "https://doi.org/10.1016/j.econmod.2016.07.009" @default.
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