Reinsurance and ruin

D. C M Dickson, Howard R. Waters

Research output: Contribution to journalArticle

Abstract

We study the effect of reinsurance on the probability of ultimate ruin in the classical surplus process and consider a retention level as optimal if it minimises the ruin probability. We show that optimal retention levels can be found when the reinsurer's premium loading depends on the retention level. We also show that when the aggregate claims process is approximated by a translated Gamma process, very good approximations to both optimal retention levels and ruin probabilities can be obtained. Finally, we discuss the effect of reinsurance on the probability of ruin in finite time.

Original languageEnglish
Pages (from-to)61-80
Number of pages20
JournalInsurance: Mathematics and Economics
Volume19
Issue number1
DOIs
Publication statusPublished - Dec 1996

Fingerprint

Ruin
Reinsurance
Probability of ruin
Ruin probability
Surplus process
Premium
Gamma process
Approximation

Keywords

  • Compound Poisson process
  • Probability of ruin
  • Reinsurance
  • Translated Gamma process

Cite this

Dickson, D. C M ; Waters, Howard R. / Reinsurance and ruin. In: Insurance: Mathematics and Economics. 1996 ; Vol. 19, No. 1. pp. 61-80.
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Reinsurance and ruin. / Dickson, D. C M; Waters, Howard R.

In: Insurance: Mathematics and Economics, Vol. 19, No. 1, 12.1996, p. 61-80.

Research output: Contribution to journalArticle

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