Optimal lower barrier on modified surplus process

Karageyik, Başak Bulut and Şahin, Şule (2017) Optimal lower barrier on modified surplus process. Journal of Statistical Computation and Simulation, 87 (8). pp. 1520-1540.

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Abstract

We obtain the optimal pair of initial surplus and barrier level under the lower barrier model on the modified surplus process. In particular, we examine the defective distribution function of the time to ruin Tu,k with lower barrier k and initial surplus u which is suggested by Nie et al. [Minimizing the ruin probability through capital injections. Ann Actuar Sci. 2011;5(2):195–209]. We aim to take this approach one step further by proposing optimal reinsurance under the minimum finite time ruin probability and maximum benefit criteria such as the released capital, expected profit and expected utility. We calculate the optimal pairs of initial surplus and barrier levels for different time periods, loading factors and weights of the criteria. In decision-making process, we use the Technique for Order of Preference by Similarity to Ideal Solution method with Mahalanobis distance. We analyse the robustness of the results with sensitivity analysis.

Item Type:	Article
Additional Information:	peerreview_statement: The publishing and review policy for this title is described in its Aims & Scope. aims_and_scope_url: http://www.tandfonline.com/action/journalInformation?show=aimsScope&journalCode=gscs20
Uncontrolled Keywords:	Reinsurance, ruin probability, lower barrier model, TOPSIS, Mahalanobis distance
Depositing User:	Symplectic Admin
Date Deposited:	10 Dec 2018 11:45
Last Modified:	19 Jan 2023 01:09
DOI:	10.1080/00949655.2016.1272117
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3029654