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MINIMIZING THE RUIN PROBABILITY OF RISK PROCESSES WITH REINSURANCE | |
EKATERINA TODOROVA KOLKOVSKA | |
Acceso Abierto | |
Atribución-NoComercial-CompartirIgual | |
Teoría de Juegos Insertidumbre | |
For two combinations of proportional and excess of loss reinsurance in a renewal risk process, we investigate existence of the insurer’s adjustment coefficient 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 ad- ditional assumptions, unimodality of the adjustment coefficient as a function of the retention levels. For the maximal adjustment coefficient the ruin probabil- ity is minimal. Our results complement previous work of Waters [8], Centeno [3] and Hesselager [4]. | |
Academic Publications Ltd. | |
2008 | |
Artículo | |
Inglés | |
Investigadores | |
ESTADÍSTICA | |
Versión publicada | |
publishedVersion - Versión publicada | |
Aparece en las colecciones: | Probababilidad Y Estadística |
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