Upper bound for ruin probabilities under optimal investment and proportional reinsurance

被引：30

作者：

Liang, Zhibin ^{[1
,2
,3
]}

Guo, Junyi ^{[2
,3
]}

机构：

[1] Nanjing Normal Univ, Sch Math & Comp Sci, Inst Math, Nanjing 210097, Jiangsu, Peoples R China

[2] Nankai Univ, Sch Math Sci, Tianjin 300071, Peoples R China

[3] Nankai Univ, LPMC, Tianjin 300071, Peoples R China

来源：

APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY | 2008年 / 24卷 / 02期

关键词：

ruin probability; Lundberg's inequality; investment; proportional reinsurance; adjustment coefficient;

D O I：

10.1002/asmb.694

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

In this paper, we consider the optimal investment and reinsurance from an insurer's point of view to maximize the adjustment coefficient. We obtain the explicit expressions for the optimal results in the diffusion approximation (D-A) case as well as in the jump-diffusion (J-D) case. Furthermore, we derive a sharper bound on the ruin probability, from which we conclude that the case with investment is always better than the case without investment. Some numerical examples are presented to show that the ruin probability in the D-A case sometimes underestimates the ruin probability in the J-D case. Copyright (C) 2007 John Wiley & Sons, Ltd.

引用

页码：109 / 128

页数：20

共 22 条

[1]

Asmussen S., 2000, Ruin probabilities

[2] Optimal investment policies for a firm with a random risk process: Exponential utility and minimizing the probability of ruin [J].