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Document Details : Title: Optimal Insurance and Reinsurance Policies in the Risk Process Author(s): GOLUBIN, A.Y. Journal: ASTIN Bulletin Volume: 38 Issue: 2 Date: November 2008 Pages: 383-397 DOI: 10.2143/AST.38.2.2033346 Abstract : The paper examines a classical risk model where both insurance and reinsurance policies are chosen by the insurer in order to minimize the expected maximal loss. We show that the optimal control problem reduces to a static case. We found that the optimal reinsurance is excess of loss reinsurance and describe the set optimal insurance policies. Such a policy providing the minimal variance of the risk left with insured turns out to be a combination of stop loss and deductible policies. The results are illustrated by two numerical examples. |
