Optimal Proportional Reinsurance and Ruin Probability

REFERENCES

• Asmussen , S. Ruin Probabilities ; World Scientific Press : New York , 2000a .
   Google Scholar
• Browne , S. Optimal investment policies for a firm with random risk process: exponential utility and minimizing the probability of ruin . Math. Oper. Res. 1995 , 20 , 937 – 958 .
   Web of Science ®Google Scholar
• Dufresne , F. ; Gerber , H. Risk theory for the compound Poisson process that is perturbed by diffusion . Insurance: Math. Econom. 1991 , 10 , 51 – 59 .
   Web of Science ®Google Scholar
• Gaier , J. ; Grandits , P. ; Schachermeyer , W. Asymptotic ruin probabilities and optimal investment . Ann. Appl. Probab. 2003 , 13 , 1054 – 1076 .
   Web of Science ®Google Scholar
• Gerber , H. An Introduction to Mathematical Risk Theory . S.S. Huebner Foundation for Insurance Education : Philadelphia , 1979 .
   Google Scholar
• Gerber , H. ; Shiu , E. Optimal dividends: analysis with Brownian motion . North American Actuarial Journal 2004 , 8 ( 1 ), 1 – 20 .
   Google Scholar
• Grandell , J. Aspects of Risk Theory ; Springer-Verlag : New York , 1991 .
   Google Scholar
• Hald , M. ; Schmidli , H. On the maximisation of the adjustment coefficient under proportional reinsurance . ASTIN Bulletin 2004 , 34 , 75 – 83 .
   Google Scholar
• Hipp , C. ; Plum , M. Optimal investment for insurers . Insurance: Math. Econom. 2000 , 27 , 215 – 228 .
   Web of Science ®Google Scholar
• Hipp , C. ; Plum , M. Optimal investment for investors with state dependent income, and for insurers . Finance and Stochastics 2003 , 7 , 299 – 321 .
   Web of Science ®Google Scholar
• Hipp , C. ; Schmidli , H. Asymptotics of ruin probabilities for controlled risk processes in the small claims case . Scand. Actuarial. J. 2004 , 5 , 321 – 335 .
   Google Scholar
• Liu , C. , Yang , H. Optimal investment for a insurer to minimize its probability of ruin . North American Actuarial Journal 2004 , 8 ( 2 ), 11 – 31 .
   Google Scholar
• Promislow , S.D. ; Young , V.R. Minimizing the probability of ruin when claims follow Brownian motion with drift. North American Actuarial Journal 2005, 9 (3), 109–128.
   Google Scholar
• Rolski , T. ; Schmidli , H. ; Schmidt , V. ; Teugels , J. Stochastic Processes for Insurance and Finance ; John Wiley : Chichester , 1999 .
   Google Scholar
• Schmidli , H. Optimal proportional reinsurance policies in a dynamic setting . Scand. Actuarial J. 2001 , 1 , 55 – 68 .
   Google Scholar
• Schmidli , H. On minimizing the ruin probability by investment and reinsurance . Ann. Appl. Probab. 2002 , 12 , 890 – 907 .
   Web of Science ®Google Scholar
• Yang , H. ; Zhang , L. Optimal investment for insurer with jump-diffusion risk process . Insurance: Math. Econom. 2005 , 37 , 615 – 634 .
   Web of Science ®Google Scholar