IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v46y2010i2p397-405.html
   My bibliography  Save this article

Optimal reinsurance with a rescuing procedure

Author

Listed:
  • Zeng, Xudong

Abstract

We consider a large insurance company whose reserve is modeled by a diffusion process. The management of the insurance company makes a decision on reinsurance in order to reduce the insurance risk. An optimal decision is the one which minimizes the expected time to reach a goal before the reserve reaches a ruin level. We introduce a rescuing procedure to deal with the case that the company is "too big to fail". We disclose that the optimal decision of the management heavily depends on how much time the company needs to wait for rescuing when it gets in trouble.

Suggested Citation

  • Zeng, Xudong, 2010. "Optimal reinsurance with a rescuing procedure," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 397-405, April.
    • Handle: RePEc:eee:insuma:v:46:y:2010:i:2:p:397-405
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(09)00157-7
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    References listed on IDEAS

    as
    1. Frostig, Esther, 2005. "The expected time to ruin in a risk process with constant barrier via martingales," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 216-228, October.
    2. Victor C. Pestien & William D. Sudderth, 1985. "Continuous-Time Red and Black: How to Control a Diffusion to a Goal," Mathematics of Operations Research, INFORMS, vol. 10(4), pages 599-611, November.
    3. Dickson,David C. M., 2005. "Insurance Risk and Ruin," Cambridge Books, Cambridge University Press, number 9780521846400.
    4. Constantinos Kardaras & Eckhard Platen, 2008. "Minimizing the Expected Market Time to Reach a Certain Wealth Level," Research Paper Series 230, Quantitative Finance Research Centre, University of Technology, Sydney.
    5. Michael I. Taksar, 2000. "Optimal risk and dividend distribution control models for an insurance company," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 51(1), pages 1-42, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Taksar, Michael & Zeng, Xudong, 2011. "Optimal non-proportional reinsurance control and stochastic differential games," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 64-71, January.
    2. Zeng, Xudong & Luo, Shangzhen, 2013. "Stochastic Pareto-optimal reinsurance policies," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 671-677.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Yonit Barron & David Perry & Wolfgang Stadje, 2016. "A make-to-stock production/inventory model with MAP arrivals and phase-type demands," Annals of Operations Research, Springer, vol. 241(1), pages 373-409, June.
    2. Sotomayor, Luz R. & Cadenillas, Abel, 2011. "Classical and singular stochastic control for the optimal dividend policy when there is regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 344-354, May.
    3. Chi, Yichun & Lin, X. Sheldon, 2011. "On the threshold dividend strategy for a generalized jump-diffusion risk model," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 326-337, May.
    4. Brill, Percy H. & Yu, Kaiqi, 2011. "Analysis of risk models using a level crossing technique," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 298-309.
    5. Kim, Bara & Kim, Hwa-Sung & Kim, Jeongsim, 2008. "A risk model with paying dividends and random environment," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 717-726, April.
    6. Frostig, Esther, 2010. "Asymptotic analysis of a risk process with high dividend barrier," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 21-26, August.
    7. Dassios, Angelos & Wu, Shanle, 2009. "On barrier strategy dividends with Parisian implementation delay for classical surplus processes," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 195-202, October.
    8. Geng, Xianmin & Wang, Ying, 2012. "The compound Pascal model with dividends paid under random interest," Statistics & Probability Letters, Elsevier, vol. 82(7), pages 1331-1336.
    9. Daniel Fernholz & Ioannis Karatzas, 2012. "Optimal arbitrage under model uncertainty," Papers 1202.2999, arXiv.org.
    10. Eckhard Platen & Renata Rendek, 2017. "Market Efficiency and Growth Optimal Portfolio," Papers 1706.06832, arXiv.org.
    11. Zhang, Nan & Jin, Zhuo & Li, Shuanming & Chen, Ping, 2016. "Optimal reinsurance under dynamic VaR constraint," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 232-243.
    12. Meng, Hui & Siu, Tak Kuen, 2011. "On optimal reinsurance, dividend and reinvestment strategies," Economic Modelling, Elsevier, vol. 28(1-2), pages 211-218, January.
    13. García, V.J. & Gómez-Déniz, E. & Vázquez-Polo, F.J., 2010. "A new skew generalization of the normal distribution: Properties and applications," Computational Statistics & Data Analysis, Elsevier, vol. 54(8), pages 2021-2034, August.
    14. Ramsden, Lewis & Papaioannou, Apostolos D., 2019. "Ruin probabilities under capital constraints," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 273-282.
    15. Liang, Zhibin & Young, Virginia R., 2012. "Dividends and reinsurance under a penalty for ruin," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 437-445.
    16. Young, Virginia R., 2017. "Purchasing casualty insurance to avoid lifetime ruin," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 133-142.
    17. Palash Ranjan Das & Tripti Chakrabarti, 2016. "On some aspects of Maximum Severity of Ruin," Metamorphosis: A Journal of Management Research, , vol. 15(2), pages 109-114, December.
    18. Das, S. & Kratz, M., 2012. "Alarm system for insurance companies: A strategy for capital allocation," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 53-65.
    19. van Noortwijk, J.M. & van der Weide, J.A.M., 2008. "Applications to continuous-time processes of computational techniques for discrete-time renewal processes," Reliability Engineering and System Safety, Elsevier, vol. 93(12), pages 1853-1860.
    20. Chen, Mi & Yuen, Kam Chuen & Guo, Junyi, 2014. "Survival probabilities in a discrete semi-Markov risk model," Applied Mathematics and Computation, Elsevier, vol. 232(C), pages 205-215.

    More about this item

    Keywords

    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:46:y:2010:i:2:p:397-405. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.