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The Optimal Strategy and Capital Threshold of Multi-period Proportional Reinsurance
A 0 exp {α(1− θ1)x− (1 + λ+ αc(u, θ1))} dx } , (17) where A = min { µ−λ αθ1 , c(u, θ1) } . 3.2.1 ... µ−λα , we have θ∗1 = 1. Substituting θ∗1 = 1 into (17) gives the insurer’s minimal ruin probability ψˆ0(u) ...- Authors: Ken Seng Tan, Zhongfei Li, Jianfa Cong
- Date: Nov 2010
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Strategic Insight and Integration>Strategy development
- Topics: Finance & Investments>Capital management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments