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Avtomatika i Telemekhanika, 2009, Issue 8, Pages 133–144
(Mi at519)
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This article is cited in 6 scientific papers (total in 6 papers)
Control in Social Economic Systems
Optimization of risk bearing in a statistical model with reinsurance
A. Yu. Golubin, V. N. Gridin, A. I. Gazov Center of Information Technologies in Design, Russian Academy of Sciences, Odintsovo, Russia
Abstract:
The paper is devoted to solving problems of optimal choice of client's risk bearing by the insurer at the level insurer-client and at the level insurer-reinsurer. It was shown that in the model of additional restrictions, the most profitable for the insurer will be the refusal from reinsurance and application of stop-loss insurance strategy. In the problem that takes the restriction on insurer's risk into account, reinsurance of excess of loss and insurance that is a combination of the stop-loss strategy and deductible are optimal. Necessary and sufficient conditions of optimality of parameters of the stated strategies are obtained; an example illustrating the proved results in case of exponential utility functions is given.
Citation:
A. Yu. Golubin, V. N. Gridin, A. I. Gazov, “Optimization of risk bearing in a statistical model with reinsurance”, Avtomat. i Telemekh., 2009, no. 8, 133–144; Autom. Remote Control, 70:8 (2009), 1385–1395
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https://www.mathnet.ru/eng/at519 https://www.mathnet.ru/eng/at/y2009/i8/p133
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Abstract page: | 377 | Full-text PDF : | 128 | References: | 45 | First page: | 4 |
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