Maximizing the retention level for proportional reinsurance under  -regulation of the finite time surplus process with unit-equalized interarrival time

Abstract

The research focuses on an insurance model controlled by proportional reinsurance in the finite-time surplus process with a unit-equalized time interval. We prove the existence of the maximal retention level for independent and identically distributed claim processes under α-regulation, i.e., a model where the insurance company has to manage the probability of insolvency to be at most α. In addition, we illustrate the maximal retention level for exponential claims by applying the bisection technique.

Keywords

• Probability of insolvency
• Proportional reinsurance