Reinsurance control in a model with liabilities of the fractional Brownian motion type

被引：9

作者：

Frangos, N. E.

Vrontos, S. D.

Yannacopoulos, A. N.

机构：

[1] Athens Univ Econ & Business, Dept Stat, Athens 10434, Greece

[2] Univ Aegean, Dept Stat & Actuarial Financial Math, Karlovassi 83200, Samos, Greece

来源：

APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY | 2007年 / 23卷 / 05期

关键词：

reinsurance control; proportional reinsurance; fractional Brownian motion;

D O I：

10.1002/asmb.680

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

We propose a model for reinsurance control for an insurance firm in the case where the liabilities are driven by fractional Brownian motion, a stochastic process exhibiting long-range dependence. The problem is transformed to a nonlinear programming problem, the solution of which provides the optimal reinsurance policy. The effect of various parameters of the model, such as the safety loading of the reinsurer and the insurer, the Hurst parameter, etc. on the optimal reinsurance program is studied in some detail. Copyright (c) 2007 John Wiley & Sons, Ltd.

引用

页码：403 / 428

页数：26

共 34 条

[1]

ASMUSSEN S, 1999, 5 U AARH

[2] Optimal reinsurance and dividend distribution policies in the Cramer-Lundberg model [J].