Anna Castaner M. Merce Claramunt Maite Marmol (Universitat de Barcelona)
Abstract
In the context of a compound Poisson risk model, we define a threshold proportional reinsurance strategy: A retention level k1 is applied whenever the reserves are less than a determinate threshold b, and a retention level k2 is applied in the other case. We obtain the integro-differential equation for the Gerber-Shiu function (defined in Gerber and Shiu (1998)) in this model, which allows us to obtain the expressions for ruin probability and Laplace transforms of time of ruin for several distributions of the claim sizes. Finally, we present some numerical results.
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Paper provided by Universitat de Barcelona. Espai de Recerca en Economia in its series Working Papers in Economics with number
222.
Length: 0 pages Date of creation: 2009 Date of revision: Handle: RePEc:bar:bedcje:2009222
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Find related papers by JEL classification: G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies
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