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Discrete-time Insurance Model with Capital Injections and Reinsurance

Author

Listed:
  • Ekaterina Bulinskaya

    (Lomonosov Moscow State University)

  • Julia Gusak

    (Lomonosov Moscow State University)

  • Anastasia Muromskaya

    (Lomonosov Moscow State University)

Abstract

A periodic-review insurance model is considered under the following assumptions. In order to avoid ruin the insurer maintains the company surplus above a chosen level a by capital injections at the end of each period. One-period insurance claims form a sequence of independent identically distributed nonnegative random variables with finite mean. A nonproportional reinsurance is applied for minimization of total expected discounted injections during a given planning horizon of n periods. Insurance and reinsurance premiums are calculated using the expected value principle. Optimal reinsurance strategy is established. Numerical results illustrating the theoretical ones are provided for three claims distributions.

Suggested Citation

  • Ekaterina Bulinskaya & Julia Gusak & Anastasia Muromskaya, 2015. "Discrete-time Insurance Model with Capital Injections and Reinsurance," Methodology and Computing in Applied Probability, Springer, vol. 17(4), pages 899-914, December.
    • Handle: RePEc:spr:metcap:v:17:y:2015:i:4:d:10.1007_s11009-014-9418-3
    DOI: 10.1007/s11009-014-9418-3
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    References listed on IDEAS

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    Cited by:

    1. Ekaterina Bulinskaya & Boris Shigida, 2021. "Discrete-Time Model of Company Capital Dynamics with Investment of a Certain Part of Surplus in a Non-Risky Asset for a Fixed Period," Methodology and Computing in Applied Probability, Springer, vol. 23(1), pages 103-121, March.
    2. Abouzar Bazyari, 2023. "On the Ruin Probabilities in a Discrete Time Insurance Risk Process with Capital Injections and Reinsurance," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(2), pages 1623-1650, August.

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