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Optimal Insurance and Reinsurance Policies in the Risk Process

Published online by Cambridge University Press:  17 April 2015

A.Y. Golubin
A.Y. Golubin*
Affiliation:
Russian Academy of Sciences Design Information Technologies Center, Marshala Zhukova Street, 30-A, Odintsovo, Moscow region, 143000 Russia, E-mail: io@meim.edu.ru info@ditc.ras.ru
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Abstract

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The paper examines a classical risk model where both insurance and reinsurance policies are chosen by the insurer in order to minimize the expected maximal loss. We show that the optimal control problem reduces to a static case. We found that the optimal reinsurance is excess of loss reinsurance and describe the set optimal insurance policies. Such a policy providing the minimal variance of the risk left with insured turns out to be a combination of stop loss and deductible policies. The results are illustrated by two numerical examples.

Keywords

Optimal controlrisk sharinginsurancereinsurance
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 38 , Issue 2 , November 2008 , pp. 383 - 397
Copyright
Copyright © ASTIN Bulletin 2008

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