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The Optimal Strategy and Capital Threshold of Multi-period Proportional Reinsurance

The Optimal Strategy and Capital Threshold of Multi-period Proportional Reinsurance This paper investigates the optimal multi-period proportional reinsurance strategy that minimizes the ruin ...
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Description: This paper investigates the optimal multi-period proportional reinsurance strategy that minimizes the ruin probability of an insurer. Some conditions under which it is optimal to have no reinsurance are derived. Based on these results, a new concept, capital threshold of proportional reinsurance, is introduced. In the case of two periods, a lower bound of the capital threshold of proportional reinsurance is provided. Some economic implications and properties of this new concept are also discussed.
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- 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

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