Journal of Mathematical Finance

Volume 7, Issue 4 (November 2017)

ISSN Print: 2162-2434   ISSN Online: 2162-2442

Google-based Impact Factor: 0.87  Citations  h5-index & Ranking

Effect of an Excess of Loss Reinsurance on Upper Bounds of Ruin Probabilities

HTML  XML Download Download as PDF (Size: 417KB)  PP. 958-974  
DOI: 10.4236/jmf.2017.74053    898 Downloads   1,886 Views  Citations
Author(s)

ABSTRACT

In this paper, discrete time risk models under an excess of loss reinsurance are studied. Adjustment coefficients of the cedent and the reinsurer are established as functions of quota share level and retention level. By the martingale method, ruin probabilities of the cedent and the reinsurer still have exponential form. Finally, numerical examples are provided to illustrate the results obtained in this paper.

Share and Cite:

Chung, N. (2017) Effect of an Excess of Loss Reinsurance on Upper Bounds of Ruin Probabilities. Journal of Mathematical Finance, 7, 958-974. doi: 10.4236/jmf.2017.74053.

Copyright © 2024 by authors and Scientific Research Publishing Inc.

Creative Commons License

This work and the related PDF file are licensed under a Creative Commons Attribution 4.0 International License.