Abstract
We consider a risk process modeled as a compound Poisson process. We find the optimal dynamic reinsurance strategy to minimize infinite time ruin probability in a general setup. A closer look on special types of reinsurance: Proportional, unlimited and limited excess of loss reinsurance shows different features of optimal reinsurance strategies.
Volume
Band XXVI, Heft 3, Mai
Page
407-420
Year
2004
Categories
Actuarial Applications and Methodologies
Dynamic Risk Modeling
Business Areas
Reinsurance
Publications
Blatter
