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

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

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Overview: In a classical risk process reinsurance and investment can be chosen at any time. This paper finds the Lundberg exponent and the Cramer-Lundberg approximation for the ruin probability under the optimal strategy in the case where no exponential moments for the claim size distribution exist. The paper further also shows the optimal strategies converge.

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Format: PDF | Size: 242KB | Date: Nov 2002 | Pages: 22

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