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Pade approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information

发布日期:2021-05-11点击数:

报告人:李婧超(深圳大学)

时间:2021年5月19日13:30开始

腾讯会议ID:330172857


摘要:This paper provides a new approximation method to get the optimal retention for a combination of quota-share and excess of loss reinsurance. Assuming that the insurer has partial information of the individual claim size, Pade approximation is used to approximate the ultimate ruin probability. To fulfil the requirement of Pade approximation, the Bowers Gamma approximation is adopted for approximating the received premium and the first three moments of the claim size (after reinsurance) for the insurer. A general approximation is also proposed.We then derive the optimal retention for the reinsurance arrangement by minimizing the approximated ruin probability. Some numerical examples are given which show that the proposed Bowers Gamma with Pade approximation performance better than translated gamma with De Vylder approximation. We also extend this numerical result to a risk model with prevention.


简介:李婧超,深圳大学数学与统计学院助理教授,澳大利亚精算师协会精算师。取得澳大利亚墨尔本大学精算学专业学士,荣誉学士及博士学位。曾担任香港中银保险集团公司精算助理,深圳市海外高层次人才。研究领域主要包括破产理论与风险管理,在Insurance: Mathematics & Economics等期刊发表论文多篇。曾主持国家自然科学基金项目,深圳市高层次人才科研启动项目,参与科技部重点研发计划子课题。


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