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Risk theory insight into a zone-adaptive control strategy

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  • Malinovskii, Vsevolod K.

Abstract

The main purpose of this paper is a risk theory insight into the problem of asset-liability and solvency adaptive management. In the multiperiodic insurance risk model composed of chained classical risk models, a zone-adaptive control strategy, essentially similar to that applied in Directives [Directive 2002/13/EC of the European Parliament and of the Council of 5 March 2002, Brussels, 5 March 2002], is introduced and its performance is examined analytically. That examination was initiated in [Malinovskii, V.K., 2006b. Adaptive control strategies and dependence of finite time ruin on the premium loading. Insurance: Math. Econ. (in press)] and is based on the application of the explicit expression for the finite-time ruin probability in the classical risk model. The result of independent interest in the paper is the representation of that finite-time ruin probability in terms of asymptotic series, as time increases.

Suggested Citation

  • Malinovskii, Vsevolod K., 2008. "Risk theory insight into a zone-adaptive control strategy," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 656-667, April.
    • Handle: RePEc:eee:insuma:v:42:y:2008:i:2:p:656-667
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    References listed on IDEAS

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    1. Teugels, Jozef L., 1982. "Estimation of ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 1(3), pages 197-211, July.
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    Cited by:

    1. Malinovskii, Vsevolod K., 2014. "Improved asymptotic upper bounds on the ruin capital in the Lundberg model of risk," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 301-309.
    2. Malinovskii, Vsevolod K., 2013. "Level premium rates as a function of initial capital," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 370-380.
    3. Landriault, David & Lemieux, Christiane & Willmot, Gordon E., 2012. "An adaptive premium policy with a Bayesian motivation in the classical risk model," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 370-378.
    4. Malinovskii, Vsevolod K., 2012. "Equitable solvent controls in a multi-period game model of risk," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 599-616.
    5. Malinovskii, Vsevolod K., 2014. "Annual intrinsic value of a company in a competitive insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 310-318.

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