Tamturk-Utev2018_Article_OptimalReinsuranceViaDirac-Fey.pdf (447.19 kB)
Optimal Reinsurance via Dirac-Feynman Approach
journal contribution
posted on 2019-09-12, 14:06 authored by Muhsin Tamturk, Sergey UtevIn 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.
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Citation
Methodology and Computing in Applied Probability, 2019, 21(2), pp 647–659.Author affiliation
/Organisation/COLLEGE OF SCIENCE AND ENGINEERING/Department of MathematicsVersion
- VoR (Version of Record)
Published in
Methodology and Computing in Applied ProbabilityPublisher
Springer (part of Springer Nature)issn
1387-5841eissn
1573-7713Acceptance date
2018-09-17Copyright date
2018Available date
2019-09-12Publisher DOI
Publisher version
https://link.springer.com/article/10.1007/s11009-018-9674-8Language
enAdministrator link
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