Controlling Ultimate Ruin Probability by Quota-Share Reinsurance Arrangements

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dc.contributor.authorKasozi, Juma
dc.contributor.authorCharles, Wilson M.
dc.contributor.authorMayambala, Fred
dc.date.accessioned2016-09-21T13:13:42Z
dc.date.available2016-09-21T13:13:42Z
dc.date.issued2013
dc.description.abstractA basic insurance model is perturbated by a diffusion. We take this model to represent the wealth dynamics of an insurance company. The model is compounded by another return on investments process of the Black-Scholes type. Both models form the risk process used in this work. Further, to manage her risk levels, the company enters into quota-share reinsurance arrangements with a reinsurer. We derive a second-order Volterra integro-differential equation which we transforminto a linear Volterra integral equation of the second kind. We have solved the equations numerically using the block-by-block method for different retention levels for the chosen parameters. Results show that quota-share reinsurance improves the survival of the insureren_US
dc.identifier.citationKasozi, J., Mahera, C.W. and Mayambala, F., 2013. Controlling ultimate ruin probability by quota-share reinsurance arrangements. International Journal of Applied Mathematics and Statistics, 49(19).en_US
dc.identifier.issn0973-7545
dc.identifier.urihttp://hdl.handle.net/20.500.11810/3900
dc.language.isoenen_US
dc.subjectUltimate ruin probabilityen_US
dc.subjectHJB equationen_US
dc.subjectVolterra equationsen_US
dc.subjectBlock-by-block methoden_US
dc.subjectQuota-share reinsuranceen_US
dc.titleControlling Ultimate Ruin Probability by Quota-Share Reinsurance Arrangementsen_US
dc.typeJournal Article, Peer Revieweden_US
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