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Optimal Reinsurance via Dirac-Feynman Approach

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journal contribution
posted on 12.09.2019, 14:06 by Muhsin Tamturk, Sergey Utev
In this paper, the Dirac-Feynman path calculation approach is applied to analyse finite time ruin probability of a surplus process exposed to reinsurance by capital injections. Several reinsurance optimization problems on optimum insurance and reinsurance premium with respect to retention level are investigated and numerically illustrated. The retention level is chosen to decrease the finite time ruin probability and to guarantee that reinsurance premium covers an average of overall capital injections. All computations are based on Dirac-Feynman path calculation approach applied to the convolution type operators perturbed by Injection operator (shift type operator). In addition, the effect of the Injection operator on ruin probability is analysed.

History

Citation

Methodology and Computing in Applied Probability, 2019, 21(2), pp 647–659.

Author affiliation

/Organisation/COLLEGE OF SCIENCE AND ENGINEERING/Department of Mathematics

Version

VoR (Version of Record)

Published in

Methodology and Computing in Applied Probability

Publisher

Springer (part of Springer Nature)

issn

1387-5841

eissn

1573-7713

Acceptance date

17/09/2018

Copyright date

2018

Available date

12/09/2019

Publisher version

https://link.springer.com/article/10.1007/s11009-018-9674-8

Language

en