WebSep 1, 2024 · In this paper, we compute the optimal investment and reinsurance strategy for an insurance company that wishes to minimize its probability of ruin, when the risk … WebTHE RESCUE OF AN INSURANCE COMPANY AFTER RUIN 28I (i) The company has an initial capital S. (ii) In each operating period the company underwrites identical portfolios of insurance contracts. The profit of these portfolios is a stochastic variable with positive expectation, and with the distribution F(x).
On Minimizing the Ruin Probability by Investment and Reinsurance
Webseverity probability density function by a piecewise linear form, rather than doing so for the cumulative distribution function. ... For large individual risks or for insurance companies, … WebSep 1, 2024 · In this paper, we compute the optimal investment and reinsurance strategy for an insurance company that wishes to minimize its probability of ruin, when the risk process follows a compound Poisson process (CPP) and reinsurance is priced via the expected-value premium principle. We consider per-loss optimal reinsurance for the CPP after first ... toyotomi srn srg22 18r32 satori
Measuring Durability of Insurance Company Based on Ruin …
WebApr 18, 2024 · In this note we find a formula for the supremum distribution of spectrally positive or negative Lévy processes with a broken linear drift. This gives formulas for ruin probabilities in the case when two insurance companies (or two branches of the same company) divide between them both claims and premia in some specified proportions. As … Web48 Accesses 4 Citations Metrics Abstract The probability of ruin of an insurance company over an infinite interval and the conditional average time before the ruin of the insurance company for the Poisson flows of insurance premiums and payments are found. Download to read the full article text References WebFeb 22, 2024 · In a computer simulation of the ruin theory, Kasumo, Kasozi & Kuznetsov (2024) explored the application of proportional and non-proportional reinsurance in an insurance company whose reserves... toyou studio jp