Researchers at School of Finance Target Insurance Economics (De Vylder approximation to the optimal retention for a combination of quota-share and…

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Researchers at School of Finance Target Insurance Economics (De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information)

By a News Reporter-Staff News Editor at Insurance Weekly News -- Investigators discuss new findings in Economics - Insurance Economics. According to news reporting originating from Hubei, People's Republic of China, by VerticalNews correspondents, research stated, "This paper considers the optimal retention in a combination of quota-share and excess of loss reinsurance. Assuming that the insurer only has partial information of the individual claim size, we develop the De Vylder approximation for the insurer's ultimate ruin probability."

Financial support for this research came from National Natural Science Foundation of China.

Our news editors obtained a quote from the research from the School of Finance, "To fulfill the requirement of De Vylder approximation, the translated gamma approximation is adopted for approximating the received premium and the first three moments of the claim size (after reinsurance) for the insurer. We then derive the optimal retention for the reinsurance arrangement by minimizing the approximated ruin probability."

According to the news editors, the research concluded: "For illustration purpose, some numerical examples are included to show the impact of partial information on the approximated ruin probability as well as the optimal retention."

For more information on this research see: De Vylder approximation to the optimal retention for a combination of quota-share and excess of loss reinsurance with partial information. Insurance Mathematics & Economics, 2017;76():48-55. Insurance Mathematics & Economics can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands.

The news editors report that additional information may be obtained by contacting X. Hu, Zhongnan Univ Econ & Law, Sch Finance, Wuhan 430073, Hubei, People's Republic of China. Additional authors for this research include B.G. Duan and L.Z. Zhang.

The direct object identifier (DOI) for that additional information is: https://doi.org/10.1016/j.insmatheco.2017.06.007. This DOI is a link to an online electronic document that is either free or for purchase, and can be your direct source for a journal article and its citation.

Keywords for this news article include: Hubei, People's Republic of China, Asia, Insurance Economics, Economics, School of Finance.