The Reduction of Initial Reserves Using the Optimal Reinsurance Chains in Non-Life Insurance

The Reduction of Initial Reserves Using the Optimal Reinsurance Chains in Non-Life Insurance

The aim of the paper is to propose, and give an example of, a strategy for managing insurance risk in continuous time to protect a portfolio of non-life insurance contracts against unwelcome surplus fluctuations. The strategy combines the characteristics of the ruin probability and the values <i&...

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Bibliographic Details
Main Authors: Galina Horáková, František Slaninka, Zsolt Simonka
Format: Article
Language:English
Published: MDPI AG 2021-06-01
Series:Mathematics
Subjects:
compound Poisson process
surplus process
Brownian motion
inverse Gaussian distribution
ruin probability
conditional value at risk
Online Access:https://www.mdpi.com/2227-7390/9/12/1350

Internet

https://www.mdpi.com/2227-7390/9/12/1350

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