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Optimal Insurance and Reinsurance Policies in the Risk Process

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  • Golubin, A.Y.

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.

Suggested Citation

  • Golubin, A.Y., 2008. "Optimal Insurance and Reinsurance Policies in the Risk Process," ASTIN Bulletin, Cambridge University Press, vol. 38(2), pages 383-397, November.
    • Handle: RePEc:cup:astinb:v:38:y:2008:i:02:p:383-397_01
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    Cited by:

    1. Liu, Ying & Li, Xiaozhong & Liu, Yinli, 2015. "The bounds of premium and optimality of stop loss insurance under uncertain random environments," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 273-278.
    2. Chen, Shumin & Liu, Yanchu & Weng, Chengguo, 2019. "Dynamic risk-sharing game and reinsurance contract design," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 216-231.

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