Asymptotics of Ruin Probabilities for Risk Processes Under Optimal Reinsurance Policies: The Small Claim Case

Topics:
Insurance
Tags:
Business Operations,
Corporate Insurance,
Insurance,
Management,
Reinsurance,
Strategy,
University Of Aarhus
Source:
University of Aarhus

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Overview: The paper considers a classical risk model with the possibility of reinsurance. Moreover, in one of the models also investment into a risky asset is possible. The insurer follows the optimal strategy. The paper further finds and reveals the Crammer-Lundberg approximation in the small claim case and proves that the optimal strategy converges to the asymptotically optimal strategy as the capital increases to infinity.

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Format: PDF | Size: 259KB | Date: Nov 2002 | Pages: 24

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