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Dyskretny proces ryzyka z uwzględnieniem reasekuracji i losowej stopy procentowej

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  • Helena Jasiulewicz

    (Uniwersytet Przyrodniczy we Wrocławiu)

Abstract

W artykule rozważane jest prawdopodobieństwo ruiny w klasycznym dyskretnym procesie ryzyka z włączeniem reasekuracji i losowej stopy inwestycji. Nadwyżka finansowa ubezpieczyciela jest inwestowana według stopy opisanej jednorodnym łańcuchem Markowa. Wyprowadzono wzory rekurencyjne na prawdopodobieństwo ruiny w czasie skończonym i nieskończonym. Podano również górne ograniczenie prawdopodobieństwa ruiny za pomocą współczynnika Lundberga. Dla reasekuracji proporcjonalnej i reasekuracji nadwyżki szkody wyznaczono optymalne poziomy retencji, przyjmując za kryterium optymalizacyjne maksymalizację współczynnika dopasowania. Uzyskane wyniki przedstawiono w tabelach i na wykresach w zależności od narzutów na bezpieczeństwo ubezpieczyciela i reasekuratora oraz poziomu kapitału początkowego.

Suggested Citation

  • Helena Jasiulewicz, 2013. "Dyskretny proces ryzyka z uwzględnieniem reasekuracji i losowej stopy procentowej," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 31, pages 11-26.
    • Handle: RePEc:sgh:annals:i:31:y:2013:p:11-26
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    References listed on IDEAS

    as
    1. Dickson, David C. M. & Waters, Howard R., 1996. "Reinsurance and ruin," Insurance: Mathematics and Economics, Elsevier, vol. 19(1), pages 61-80, December.
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