Optimal Layer Reinsurance for Compound Fractional Poisson Model
Author
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2019, Issue 2019 (31 Dec. 2019), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2019-02-07
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
In this paper, we study the optimal retentions for an insurer with a compound fractional Poisson surplus and a layer reinsurance treaty.
Under the criterion of maximizing the adjustment coefficient, the closed form expressions of the optimal results are obtained.
It is demonstrated that the optimal retention vector and the maximal adjustment coefficient are not only closely related to the parameter of the fractional Poisson process, but also dependent on the time and the claim intensity, which is different from the case in the classical compound Poisson process.
Numerical examples are presented to show the impacts of the three parameters on the optimal results.
American Psychological Association (APA)
Zhang, Jiesong. 2019. Optimal Layer Reinsurance for Compound Fractional Poisson Model. Discrete Dynamics in Nature and Society،Vol. 2019, no. 2019, pp.1-8.
https://search.emarefa.net/detail/BIM-1146254
Modern Language Association (MLA)
Zhang, Jiesong. Optimal Layer Reinsurance for Compound Fractional Poisson Model. Discrete Dynamics in Nature and Society No. 2019 (2019), pp.1-8.
https://search.emarefa.net/detail/BIM-1146254
American Medical Association (AMA)
Zhang, Jiesong. Optimal Layer Reinsurance for Compound Fractional Poisson Model. Discrete Dynamics in Nature and Society. 2019. Vol. 2019, no. 2019, pp.1-8.
https://search.emarefa.net/detail/BIM-1146254
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1146254