کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5776368 | 1631972 | 2017 | 5 صفحه PDF | دانلود رایگان |
This note revisits the problem discussed in Meng et al. (2016) where an optimal insurance risk control problem was considered in a diffusion approximation model with multiple reinsurers adopting variance premium principles. It was shown in Meng et al. (2016) that under a certain technical condition, a combined proportional reinsurance treaty is an optimal form in a class of plausible reinsurance treaties. From both theoretical and practical perspectives, an interesting question may be whether the combined proportional reinsurance treaty is still an optimal form in a quite considerably larger class of plausible reinsurance treaties. This note addresses this question and shows that a combined proportional reinsurance treaty is still an optimal form.
Journal: Journal of Computational and Applied Mathematics - Volume 319, 1 August 2017, Pages 38-42