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Effect of an Excess of Loss Reinsurance on Upper Bounds of Ruin Probabilities
Department of Basic Sciences, Hungyen University of Technology and Education, Hung Yen, Vietnam
Applied Mathematics and Informatics School, Hanoi University of Science and Technology, Hanoi, Vietnam
- 1 Department of Basic Sciences, Hungyen University of Technology and Education, Hung Yen, Vietnam
- 2 Applied Mathematics and Informatics School, Hanoi University of Science and Technology, Hanoi, Vietnam
Journal of Mathematical Finance·Volume 07 (2017)·Pages 958–974·Published 29 September 2017·DOI10.4236/jmf.2017.74053
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Abstract
In this paper, discrete time risk models under an excess of loss reinsurance are studied. Adjustment coefficients of the cedent and the reinsurer are established as functions of quota share level and retention level. By the martingale method, ruin probabilities of the cedent and the reinsurer still have exponential form. Finally, numerical examples are provided to illustrate the results obtained in this paper.
KeywordsExcess of Loss ReinsuranceRuin ProbabilityQuota Share LevelRetention LevelInterest RateMarkov ChainMartingale Process
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