Optimal layer reinsurance for compound fractional Poisson model

DOI10.1155/2019/2150878MaRDI QIDQ2296459zbMATH OpenOpenAlexWikidataFDO

Authors Jiesong Zhang

Publication date 18 February 2020

Published in Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2019/2150878

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Actuarial mathematics (91G05)

Review text

Summary: 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.

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Cited in

(1)

• Fractional compound renewal sums with discounted claims

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