Optimal Reinsurance Strategy under the Criterion of Expected Premium
As"insurance of insurance",reinsurance serves as an effective risk management strategy.In this paper,under the criterion of expected premium,the optimal strategies for quota share reinsurance,stop-loss reinsurance,and a combination of the two are investigated.By utilizing the martingale method,the upper bound of the finite-time ruin probability in the Compound-Poisson risk model is derived.Our findings indicate that in terms of minimizing the upper bound of the finite-time ruin probability,stop-loss reinsurance outperforms the combination of the two reinsurances.
reinsurancemartingaleCompound-Poisson risk modelruin probability
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