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Regular version of the site

Book chapter

An Optimal Choice of Insurance and Reinsurance Policies in the Risk Process

P. 216-226.
Golubin A. Y., Gridin V. N.

The chapter studies a dynamic risk model defined on infinite time interval, where both insurance and per-claim reinsurance policies are chosen by the insurer in order to minimize a functional of the form of variation coefficient under constraints imposed with probability one on insured's and reinsurer's risks. We show that the optimum is achieved at constant policies, the optimal reinsurance is a partial stop loss reinsurance and the optimal insurance is a combination of stop loss and deductible policies. The results are illustrated by a numerical example involving uniformly distributed claim sizes.