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http://cimat.repositorioinstitucional.mx/jspui/handle/1008/648| Minimizing the Ruin Probability of Risk Processes with Reinsurance | |
| EKATERINA TODOROVA KOLKOVSKA | |
| Acceso Abierto | |
| Atribución-NoComercial | |
| Riesgo - Probabilidad | |
| For two combinations of proportional and excess of loss reinsurance in a renewal risk process, we investigate existence of the insurer's ad- justment coecient as a function of retention levels, assuming that the premiums are calculated according to the expected value principle. In the classical Poisson compound case with exponentially distributed claims we prove, under some additional assumptions, unimodality of the adjustment coecient as a function of the retention levels. For the maximal adjust- ment coecient the ruin probability is minimal. Our results complement previous work of Waters [8], Centeno [3] and Hesselager [4]. | |
| Centro de Investigación en Matemáticas AC | |
| 19-12-2007 | |
| Reporte | |
| Inglés | |
| Investigadores | |
| APLICACIÓN DE LA PROBABILIDAD | |
| Versión publicada | |
| publishedVersion - Versión publicada | |
| Aparece en las colecciones: | Reportes Técnicos - Probabilidad y Estadística |
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