Optimal Retention Level for Infinite Time Horizons under MADM

Optimal Retention Level for Infinite Time Horizons under MADM

In this paper, we approximate the aggregate claims process by using the translated gamma process under the classical risk model assumptions, and we investigate the ultimate ruin probability. We consider optimal reinsurance under the minimum ultimate ruin probability, as well as the maximum benefit c...

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Bibliographic Details
Main Authors: Başak Bulut Karageyik, Şule Şahin
Format: Article
Language:English
Published: MDPI AG 2016-12-01
Series:Risks
Subjects:
optimal reinsurance
ultimate ruin probability
translated gamma process
expected utility
released capital
expected profit
MADM
Online Access:http://www.mdpi.com/2227-9091/5/1/1

Internet

http://www.mdpi.com/2227-9091/5/1/1

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