کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7354516 | 1477193 | 2018 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On fair reinsurance premiums; Capital injections in a perturbed risk model
ترجمه فارسی عنوان
در حق بیمه بازنشستگی منصفانه؛ تزریق سرمایه در یک مدل ریسک پذیر
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
We consider a risk model where deficits after ruin are covered by a new type of reinsurance contract that provides capital injections. To allow the insurance company's survival after ruin, the reinsurer injects capital only at ruin times caused by jumps larger than a chosen retention level. Otherwise capital must be raised from the shareholders for small deficits. The problem here is to determine adequate reinsurance premiums. It seems fair to base the net reinsurance premium on the discounted expected value of any future capital injections. Inspired by the results of Huzak et al. (2004) and Ben Salah (2014) on successive ruin events, we show that an explicit formula for these reinsurance premiums exists in a setting where aggregate claims are modeled by a subordinator and a Brownian perturbation. Here ruin events are due either to Brownian oscillations or jumps and reinsurance capital injections only apply in the latter case. The results are illustrated explicitly for two specific risk models and in some numerical examples.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 82, September 2018, Pages 11-20
Journal: Insurance: Mathematics and Economics - Volume 82, September 2018, Pages 11-20
نویسندگان
Zied Ben Salah, José Garrido,