| Title of Article |
Maximizing the Retention Level for Proportional
Reinsurance under -regulation of the Finite-Time
Surplus Process with Unit-equalized Interarrival Time |
| Date of Acceptance |
31 May 2016 |
| Journal |
| Title of Journal |
Suan Sunandha Science and Technology Journal |
| Standard |
OTHER () |
| Institute of Journal |
Published by: Faculty of Science and Technology, Suan Sunandha Rajabhat University |
| ISBN/ISSN |
ISSN 2351-0889 |
| Volume |
3 |
| Issue |
2 |
| Month |
July 2016 |
| Year of Publication |
2018 |
| Page |
17-21 |
| Abstract |
The research focuses on an insurance model controlled by proportional reinsurance in the finite-time
surplus process with a unit-equalized time interval. We prove the existence of the maximal retention level for
independent and identically distributed claim processes under α-regulation, i.e., a model where the insurance
company has to manage the probability of insolvency to be at most α. In addition, we illustrate the maximal
retention level for exponential claims by applying the bisection technique. |
| Keyword |
Probability of insolvency, Proportional reinsurance, Maximal retention level |
| Author |
|
| Reviewing Status |
มีผู้ประเมินอิสระ |
| Status |
ตีพิมพ์แล้ว |
| Level of Publication |
นานาชาติ |
| citation |
false |
| Part of thesis |
true |
| Attach file |
|
| Citation |
0
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Publication
Journal Publication
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