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Showing 1 results for Excess Loss Reinsurance Model

Dr. Abouzar Bazyari,
Volume 17, Issue 1 (9-2023)
Abstract

In the excess loss reinsurance risk model, the amount of insurance premium paid by the company is influential in the ruin of that company. In this paper, the premium function is presented based on the expected amount of total payments of the reinsurer to the assigning insurer, the constraint on this function is investigated, and for the claims with any arbitrary distribution, the contour plots are drawn and with presenting optimization algorithm, infinite time ruin probability function will be minimum for different values of initial capital and threshold value. Finally, the excess loss reinsurance risk model with non-exponential claims is considered, and the infinite time ruin probability is calculated with numerical examples. 


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مجله علوم آماری – نشریه علمی پژوهشی انجمن آمار ایران Journal of Statistical Sciences

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