Discrete-time Insurance Model with Capital Injections and Reinsurance
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| 024 | 7 | 0 | |a 10.1007/s11009-014-9418-3 |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s11009-014-9418-3 | ||
| 245 | 0 | 0 | |a Discrete-time Insurance Model with Capital Injections and Reinsurance |h [Elektronische Daten] |c [Ekaterina Bulinskaya, Julia Gusak, Anastasia Muromskaya] |
| 520 | 3 | |a A periodic-review insurance model is considered under the following assumptions. In order to avoid ruin the insurer maintains the company surplus above a chosen level a by capital injections at the end of each period. One-period insurance claims form a sequence of independent identically distributed nonnegative random variables with finite mean. A nonproportional reinsurance is applied for minimization of total expected discounted injections during a given planning horizon of n periods. Insurance and reinsurance premiums are calculated using the expected value principle. Optimal reinsurance strategy is established. Numerical results illustrating the theoretical ones are provided for three claims distributions. | |
| 540 | |a Springer Science+Business Media New York, 2014 | ||
| 690 | 7 | |a Discrete-time insurance model |2 nationallicence | |
| 690 | 7 | |a Capital injection |2 nationallicence | |
| 690 | 7 | |a Nonproportional reinsurance |2 nationallicence | |
| 690 | 7 | |a Optimal strategy |2 nationallicence | |
| 700 | 1 | |a Bulinskaya |D Ekaterina |u Department of Mathematics and Mechanics, Lomonosov Moscow State University, 119991, Moscow, Russia |4 aut | |
| 700 | 1 | |a Gusak |D Julia |u Department of Mathematics and Mechanics, Lomonosov Moscow State University, 119991, Moscow, Russia |4 aut | |
| 700 | 1 | |a Muromskaya |D Anastasia |u Department of Mathematics and Mechanics, Lomonosov Moscow State University, 119991, Moscow, Russia |4 aut | |
| 773 | 0 | |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/4(2015-12-01), 899-914 |x 1387-5841 |q 17:4<899 |1 2015 |2 17 |o 11009 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s11009-014-9418-3 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s11009-014-9418-3 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Bulinskaya |D Ekaterina |u Department of Mathematics and Mechanics, Lomonosov Moscow State University, 119991, Moscow, Russia |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Gusak |D Julia |u Department of Mathematics and Mechanics, Lomonosov Moscow State University, 119991, Moscow, Russia |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Muromskaya |D Anastasia |u Department of Mathematics and Mechanics, Lomonosov Moscow State University, 119991, Moscow, Russia |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Methodology and Computing in Applied Probability |d Springer US; http://www.springer-ny.com |g 17/4(2015-12-01), 899-914 |x 1387-5841 |q 17:4<899 |1 2015 |2 17 |o 11009 | ||