Optimal Reinsurance: A Ruin-Related Uncertain Programming Approach
Optimization and Control
2021-01-19 v1
Abstract
We investigate the role of reinsurance in maximizing the wealth of an insurance company. We use Liu's uncertainty theory (B. Liu, 2007) for the problem modeling and follow-up computations. The uncertainty measure of ruin for the insurance company is considered as the optimization criterion. Since calculating the ruin index is very difficult, we introduce a simple computational method to identify the uncertain measure of ruin for an insurance company. Finally, a generalized model is presented, granting the model be more practical.
Keywords
Cite
@article{arxiv.2101.06470,
title = {Optimal Reinsurance: A Ruin-Related Uncertain Programming Approach},
author = {Wrya Vakili and Alireza Ghaffari-Hadigheh},
journal= {arXiv preprint arXiv:2101.06470},
year = {2021}
}