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Avtomatika i Telemekhanika, 2009, Issue 8, Pages 133–144 (Mi at519)  
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
Full-text PDF (176 kB) Citations (6)
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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.
Presented by the member of Editorial Board: A. I. Kibzun

Received: 15.02.2008
English version:
Automation and Remote Control, 2009, Volume 70, Issue 8, Pages 1385–1395
DOI: https://doi.org/10.1134/S0005117909080116
Bibliographic databases:
Document Type: Article
PACS: 02.50.Cw, 02.50.Le
Language: Russian
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
Citation in format AMSBIB
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    • This publication is cited in the following 6 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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