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Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process

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  • Lianzeng Zhang
  • Xiang Hu
  • Baige Duan

Abstract

In this paper, we study the retention levels for combinations of quota-share and excess of loss reinsurance by maximizing the insurer’s adjustment coefficient, which in turn minimizes the asymptotic result of ruin probability. Assuming that the premiums are determined by the expected value principle, we consider a discrete risk model, in which a dependence structure is introduced based on Poisson MA(1) process between the claim numbers for each period. The impact of dependence parameter on the adjustment coefficient is discussed and numerical examples are provided to illustrate the results obtained in this paper.

Suggested Citation

  • Lianzeng Zhang & Xiang Hu & Baige Duan, 2015. "Optimal reinsurance under adjustment coefficient measure in a discrete risk model based on Poisson MA(1) process," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2015(5), pages 455-467, July.
    • Handle: RePEc:taf:sactxx:v:2015:y:2015:i:5:p:455-467
    DOI: 10.1080/03461238.2013.849615
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